us etf compass · us etf compass date 16 may 2016 $10bn inflows and markets took etp assets beyond...

Deutsche Bank Markets Research

North America

United States

Synthetic Equity & Index Strategy

US ETF Compass

Date

16 May 2016

$10bn inflows and markets took ETP assets beyond $2.2 trillion in April

ETF Monthly 2.0: Evolving content for an evolving industry

________________________________________________________________________________________________________________

Deutsche Bank Securities Inc.

Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MCI (P) 057/04/2016.

Author

Sebastian Mercado, CFA

Strategist

(+1) 212 250-8690

[email protected]

Team Contacts

Hallie Martin

Strategist

(+1) 212 250-7994

[email protected]

Srineel Jalagani

Strategist

(+1) 212 250-2060

[email protected]

Recent research Date

TAARSS says prefer North America and DM Pacific ex Japan equities

04 May 2016

House View Portfolio: 2016 Annual Rebalance

12 Feb 2016

Source: Deutsche Bank

Find out the latest ETF developments in our monthly insights, navigate the markets with our asset allocation dashboards, get ideas for your product strategy from our business intelligence analysis, and get a clean industry picture from our ETF statistics.

Risky assets continued strong in April, but a bit softer relative to March April continued to provide a positive tone for risky assets, although in a more moderate way compared to March. Global Equities, US Equities, DM Intl Equities, and EM Equities all recorded positive performance last month with total returns of 1.34%, 0.66%, 2.22%, and 0.41%, respectively. On the other hand, traditional safe haven assets were mixed with Gold advancing 5.11% and US Treasuries facing some headwinds on the long end with the 10Y US Treasury yield increasing by 7bps. Similarly, the USD had another soft month with the greenback weakening against the major currencies (UUP down by 1.79%).

Another $10bn inflows for ETPs in April and positive markets take ETP assets beyond $2.2 trillion ETP assets continued to recover the lost ground experienced in the first two months of the year fueled by another month of positive markets and inflows during April. Thus ETP assets ended April at $2.2 trillion recording a 4.1% growth on a YTD basis. Equity ETPs experienced inflows of $6.7bn for a total of $2.7bn outflows YTD; similarly, Fixed Income also received inflows of $4.1bn during last month, however Commodities experienced outflows of $0.8bn in the same period.

ETF Flow Risk-o-Meter (EFRoM): a new gauge for investors’ risk appetite We leveraged our TAARSS factor signals and over 7 years of live ETF Flow analysis to develop a single measure that could help investors measure the level of risk appetite in the market, and suggest forward positioning for risky assets. The EFRoM level can provide a measure for risk appetite; while the change in the EFRoM level can be used for risky asset performance forecasting. The current EFRoM readings suggest investors remain on risk-on mode at the end of April, but should reduce risk in May.

Largest HY ETF sees record Outflows The recent outflows from HYG are consistent with an overall reduction of risk appetite across markets. Furthermore, the outflows from HYG were most likely driven by institutional investors closing tactical positions entered last February. In addition, the HYG’s Options market also suggests that outflows were driven by asset allocation decisions and not asset class stress. Similarly, the relationship between ETF primary and secondary market activity also supports the asset allocation thesis for recent HYG outflows. Overall, this episode marked another milestone liquidity test, which HYG was able to pass with flying colors.

16 May 2016

US ETF Compass


Table Of Contents

ETF Monthly Insights ........................................................... 3 Risky assets continued strong in April, but a bit softer ...................................... 3 Another $10bn inflows for ETPs in April and positive markets take ETP assets beyond $2.2 trillion ............................................................................................. 4 ETF Flow Risk-o-Meter (EFRoM) ......................................................................... 5 Largest HY ETF sees record outflows ................................................................. 6

Asset Allocation dashboard................................................. 7 Global Multi Asset Allocator heatmaps .............................................................. 7 US Equity Allocator heatmaps ............................................................................ 9 International Equity Allocator heatmaps ........................................................... 11 Cross Asset Correlations (3Y) ........................................................................... 13 12-Month Relative Performance Monitor ......................................................... 14 House View Portfolio: Monthly Brief ................................................................ 15

Business Intelligence ......................................................... 16 New Listings ..................................................................................................... 16 Delistings .......................................................................................................... 18 Trends in products launched in the last 12 months .......................................... 19 Popular Product Segments: Smart Beta & Currency Hedged ........................... 20 Average Performance by Product Type and Size (Equity) ................................. 21 Total Expense Ratio X-ray ................................................................................. 23

ETF Statistics ..................................................................... 24 Global ETF Assets and Provider Ranking .......................................................... 24 US Historical ETF trends ................................................................................... 25 ETF Issuer and Index Provider league tables .................................................... 26 Monthly Snapshot ............................................................................................ 28 Top 15 ETFs (includes ETNs) ............................................................................ 34

Appendix A: ETN Snapshot ............................................... 35

Appendix B: ETF List ......................................................... 36

Appendix C: Definitions ..................................................... 39 ETP Universe Definitions .................................................................................. 39 Management Style or Product Strategy Definitions ......................................... 39 Product Type Definitions .................................................................................. 40

16 May 2016

US ETF Compass


ETF Monthly Insights

Risky assets continued strong in April, but a bit softer

April continued to provide a positive tone for risky assets, although in a more

moderate way compared to March. Global Equities, US Equities, DM Intl

Equities, and EM Equities all recorded positive performance last month with

total returns of 1.34%, 0.66%, 2.22%, and 0.41%, respectively. On the other

hand, traditional safe haven assets were mixed with Gold advancing 5.11%

and US Treasuries facing some headwinds on the long end with the 10Y US

Treasury yield increasing by 7bps. Similarly, the USD had another soft month

with the greenback weakening against the major currencies (UUP down by

1.79%).

Although most asset classes were positive during April, ETP flows were mixed.

Japan and the Eurozone were exposures with relevant outflows of over 5% of

assets among equities. In the fixed income space, Treasuries were the most

affected by redemptions ranging from 6% to 11% of the assets across the

different term structures. And although commodity performance was very

strong (~10%), Energy flows were very weak at a rate of over 10% of assets

leaving the products.

Within US equities, performance was mostly positive across most sectors and

industries, however flows in sectors and industries were mixed. The following

sectors experienced the most significant inflows: Materials (15.3% of assets),

and Telecom (7.0%); while Consumer sectors experienced the largest outflows

with Consumer Discretionary and Consumer Staples losing over 4% of their

assets in April each. At the industry level, Semiconductors and Energy E&P,

attracted the strongest inflows with 18% and 14% of assets, respectively;

while Insurance, Home builders, and Retail experienced the strongest outflows

with 13%, 8%, and 8% of assets, respectively.

In international equity markets, we saw positive performances for most

countries and regions with the exception of EM Asia. Brazil and Peru in Latin

America experienced the strongest rallies posting returns of 12% and 19% last

month, respectively. In Intl Developed Markets, Norway and Canada recorded

the best returns with 9% and 7%, respectively. The strongest flows were seen

in Peru, Malaysia, and Turkey with 14%, 12%, and 12% of assets; while the

strongest outflows were experienced by Germany with 9% of assets.

In terms of correlation trends, we observed that the correlation between US

Real Estate (REITs) and Global equities, and Commodities and Global Equities

has begun to turn from its upward trend, while the correlation of US Fixed

Income with IG corporate debt continues to decrease.

For full details please refer to the information contained in Figure 2 through

Figure 20 within the Asset Allocation dashboard section.

16 May 2016

US ETF Compass


Another $10bn inflows for ETPs in April and positive markets take ETP assets beyond $2.2 trillion

ETP assets continued to recover the lost ground experienced in the first two

months of the year fueled by another month of positive markets and inflows

during April. Thus ETP assets ended April at $2.2 trillion recording a 4.1%

growth on a YTD basis. Equity ETPs experienced inflows of $6.7bn for a total

of $2.7bn outflows YTD; similarly, Fixed Income also received inflows of

$4.1bn during last month, however Commodities experienced outflows of

$0.8bn in the same period.

At the end of April, ETP flows finalized at $42.7bn YTD, with $36.8bn received

by Fixed Income ETPs and $9.2bn received by Commodity ETPs, which more

than offset the $2.7bn outflows from Equity and $1.3bn outflows from other

asset class products.

Smart Beta products continued to recover assets in April by adding $4.3bn in

net creations, for a total of $0.5bn in outflows YTD. In contrast, Beta, Beta+

(leveraged and inverse), and Active products have experienced positive flows

YTD. Within Equity Smart Beta products, Low Risk ETFs continued to be the

most supported category with an additional $2.9bn in new cash allocations

during April. While Multi-factor products were the smart beta segment with

the largest flight of assets last month (-$0.3bn).

A weakening USD continued to put pressure on Equity Currency Hedged ETFs

which experienced $2.1bn in outflows last month, for a total of $8.4bn outflow

in the first four months of the year. ETFs offering currency hedging to EUR (-

$0.8bn), and JPY-denominated (-$0.7bn) equities suffered the most last month.

In terms of product types, Cash Management, Asset Allocation, and Leveraged

& Inverse ETPs received inflows of $5.2bn, $7.9bn, and $0.6bn, respectively;

while Pseudo Futures ETFs experienced outflows of $3.6bn.

Total ETP turnover was $1.41 trillion last month, down 12% from the previous

month as volatility stayed mostly stable in April. Furthermore, ETP turnover

represented 25% of all cash equity traded in the US during April, slightly under

its 12-month average of 26.5%.

Through the end of March, organic growth was positive for passive

investments (+$71.5bn), ETFs (+$22.7bn), and Mutual Funds (+$2.7bn); while

it was weak for active vehicles (-$46.1bn).

Additional details can be found in the Business Intelligence and ETF Statistics

sections.

16 May 2016

US ETF Compass


ETF Flow Risk-o-Meter (EFRoM)

Leveraging TAARSS factor signals and over 7 years of live ETF Flow analysis

Risk-on and Risk-off trades have been frequent patterns exhibited by the

markets, particularly since the 2008 financial crisis. In fact, we have featured

and commented on the anatomy of both risk trades in our ETF research

extensively for over 7 years, and we have studied historical ETF flow

allocations since the launch of the first ETF back in 1993. We are now

introducing a new risk indicator which combines selected TAARSS information

and our experience studying the risk trade in order to measure risk appetite in

the market. We call this new metric ETF Flow Risk-o-Meter or EFRoM for

short.

The EFRoM level can provide a measure for risk appetite, while the changes in the EFRoM level can be used for risky asset performance forecasting

The Risk-o-Meter level can help to measure investors’ risk appetite. A positive

EFRoM reading indicates investors are on risk-on mode, while a negative

reading suggests investors are on risk-off mode. Meanwhile the monthly

changes on the EFRoM level can provide a tactical insight for adjusting

exposure to risky assets. Thus a positive level change suggests that an

increase in risk exposure is appropriate, while a negative level change

suggests that a reduction in risk would be more appropriate.

The current EFRoM readings suggest investors remain on risk-on mode, but should reduce risk in May.

The EFRoM level for April was still positive suggesting that investors still

maintain a favorable allocation behavior towards risky assets; however risk

appetite decreased compared to March. Therefore the negative change in the

month-over-month EFRoM level suggests that investors’ appetite for risk in

April was less significant than in March. The reduction in risk appetite should

pose a more challenging environment for the upside of risky assets; therefore

we recommend investors to reduce their exposure to risky assets in May.

Figure 1: ETF Flow Risk-o-Meter (EFRoM)

(4.0)

(3.0)

(2.0)

(1.0)

-

1.0

2.0

3.0

4.0

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

-

0.5

1.0

1.5

2.0

2.5

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

Mar-

16

Ap

r-1

6

Ris

k-o

-Mete

r M

oM

Ch

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Ris

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ETF Flow Risk-o-meter

AD

DR

ISK

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OFF

Source: Deutsche Bank, Bloomberg Finance LP.a

Report published on May5th 2016th, click here for full report

http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/3302-B83E/78261301/0900b8c08b1b510b.pdf

16 May 2016

US ETF Compass


Largest HY ETF sees record outflows

The outflows from HYG are consistent with an overall reduction of risk appetite across markets

The comeback rally which began after Feb 11th, 2016 had added over 15% to

Global Equities and almost 12% to HYG through April 28th. However following

mix macroeconomic data and concerns over the actual efficacy of recent

Central Bank measures, markets have begun to lose confidence and taper their

appetite for risk as suggested by our ETF Flow Risk-o-Meter indicator.

Outflows from HYG most likely driven by institutional investors closing tactical positions entered last February

HYG received $3.9bn of inflows during the recent rebound rally; however it has

lost about $3.6bn in redemptions in the last six days. The high level of

institutional ownership of HYG and the size of the redemptions suggest that

institutional investors are most certainly behind the recent outflows. In

addition, although other ETFs, such as JNK, have also experienced outflows,

they have not been anywhere close to the magnitude of HYG’s flows

suggesting that HYG’s outflows may be driven mainly by the more unique

short-term minded investor group which is probably cashing out positions

entered after the rebound and is more likely to be found among HYG owners.

HYG’s Options market also suggests outflows driven by asset allocation decision and not asset class stress

During the last December’s HY debt stress episode, both HYG options notional

dollar value traded and implied volatility rose significantly reaching daily levels

as high as $6.6bn and 17.4%, respectively. On the other hand, during the last

few days options market activity for HYG has remained normal with options

notional dollar value traded in the range of $400m-$500m, and implied

volatility closer to 10%. Therefore we do not see any current signs of bond

market stress, but rather signs of normal asset allocation conditions

Relationship between ETF primary market and secondary market activity also supports the asset allocation thesis for recent HYG outflows

A low ratio of primary market to secondary market activity for HYG, such as

the one observed last December, indicates either a situation of market stress

driven by non-asset allocation positioning or very little demand/supply for the

asset class; while a high ratio like the current one (~40%) suggests a healthy

primary market and flows driven mostly by asset allocation decisions.

HYG passes another liquidity test with flying colors

Despite HYG seeing its largest run of outflows on record with $3.6bn exiting

the fund in the last six days since April 28th, or more than 40% of the $8.5bn

HYG shares traded on-exchange in the last six-day period, we saw very

efficient execution with an average of 1.2bps bid/ask price spread, and an

average daily premium of 0.22% to NAV. Therefore we reaffirm our stand that

HY ETFs do contribute to ease liquidity pressure on HY debt by providing a

safety valve or liquidity buffer for the asset class when the underlying market

experiences stress, and by providing transparent additional liquidity to access

the HY asset class which can be easily transformed in bond liquidity during

normal market conditions.

Report published on May9th 2016th, click here for full report

http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/1044-DA01/97666925/0900b8c08b1c887d.pdf

16 May 2016

US ETF Compass


Asset Allocation dashboard

Global Multi Asset Allocator heatmaps

Figure 2: Global Multi Asset Performance and Net ETF Cash Flow Trends

1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann

ACWI Global Equities 1.34% 7.47% -0.91% -5.70% 5.21% 4.67% 0.4% 0.7% 3.5% 7.5% 13.3% 13.0%

VTI US Total Market 0.66% 7.81% 0.07% -0.28% 10.75% 10.50% 0.6% 1.2% 4.0% 7.6% 12.1% 12.6%

SPY S&P 500 (Large Cap) 0.39% 7.06% 0.34% 1.11% 11.14% 10.89% 0.2% 0.5% 3.9% 7.8% 9.6% 10.1%

MDY S&P 400 (Mid Cap) 1.19% 11.13% 1.92% -1.31% 9.37% 8.90% 0.6% 1.1% 1.9% 5.9% 13.9% 10.0%

IWM Russell 2000 (SM Cap) 1.67% 9.58% -1.76% -5.82% 7.60% 7.04% 1.3% 1.1% 4.2% 8.0% 11.0% 8.2%

EFA Intl DM 2.22% 5.32% -3.55% -9.88% 0.98% 1.42% -0.9% -3.8% 1.1% 12.3% 29.0% 22.9%

VGK Europe 2.76% 6.44% -3.32% -9.11% 2.53% 1.31% -0.2% -5.0% -3.5% 17.2% 44.1% 31.6%

EZU Eurozone 2.56% 6.23% -4.08% -8.81% 3.19% -0.61% -5.7% -17.7% -15.0% -2.7% 72.5% 46.8%

EWJ Japan 0.09% -0.70% -6.63% -10.10% 0.41% 3.22% -7.4% -18.6% -19.1% -8.6% 17.7% 27.8%

EPP Pacific ex JP 1.86% 12.92% 4.78% -11.65% -4.12% -0.39% 3.3% -1.0% -7.7% -14.0% -12.4% -6.5%

EEM EM 0.41% 12.50% 0.15% -17.95% -5.32% -5.26% 1.6% 9.1% 5.7% -0.6% -0.6% 3.3%

ILF Latin America 7.83% 32.21% 16.47% -13.40% -12.06% -10.44% 4.6% 34.3% 34.9% 8.6% -6.2% -5.1%

EEMA EM Asia -1.45% 7.90% -3.81% -19.98% -1.55% -1.0% 2.0% -4.2% -9.8% 6.7% 4.2%

GUR EM Europe 6.14% 24.47% 8.64% -9.64% -9.74% -11.19% -0.1% 7.3% 4.0% 2.4% 25.6% 2.5%

MES Middle East 1.64% 14.90% -3.83% -18.05% 1.50% 2.63%

AFK Africa 12.21% 28.51% 6.98% -18.68% -8.27% -6.36% 2.7% 49.3% 17.6% 16.9% 3.4% -0.1%

FM Frontier Market 2.36% 9.59% -5.63% -16.88% -0.88% 1.9% -9.4% -12.0% -8.6% 24.4% 22.9%

BKF BRIC 2.46% 14.45% -1.42% -23.04% -5.77% -7.29% -1.2% -3.2% -9.2% -19.0% -25.5% -16.4%

AGG Fixed Income (Broad) 0.26% 2.03% 2.69% 2.57% 2.20% 3.48% 1.0% 6.3% 11.0% 21.4% 15.4% 21.7%

GOVT US Treasury -0.23% 0.78% 2.28% 2.69% 1.68% -7.3% -8.5% 0.8% 28.9% 21.9% 17.6%

SHV Very Short 0.05% 0.13% 0.17% 0.18% 0.07% 0.05% -10.7% -35.9% -9.9% 2.5% 1.6% 1.9%

SHY Short 0.04% 0.29% 0.53% 0.75% 0.62% 0.67% -8.7% -15.2% -16.2% 24.6% 15.0% 9.0%

IEI Intermediate -0.14% 0.65% 2.10% 2.81% 1.60% 2.84% -6.4% -2.3% 2.3% 32.8% 29.3% 29.0%

TLT Long -0.74% 2.24% 6.67% 5.34% 4.59% 9.77% -7.0% 12.2% 31.4% 42.7% 30.0% 31.3%

TIP US Inflation 0.21% 3.12% 3.53% 0.79% -1.05% 2.41% 4.5% 12.1% 17.0% 20.3% 1.1% 2.0%

MUB Municipal 0.67% 1.13% 3.46% 4.92% 2.85% 4.88% 1.0% 6.5% 16.2% 25.2% 15.8% 22.1%

MBB Securitized 0.11% 0.71% 1.75% 2.04% 2.26% 2.74% 4.6% 11.5% 13.3% 31.1% 14.4% 29.8%

LQD IG Corporates 1.55% 6.33% 5.15% 3.82% 3.05% 5.59% 2.3% 8.3% 10.3% 20.7% 15.4% 24.5%

HYG HY Corporates 3.12% 7.33% 0.91% -2.49% 1.19% 4.22% -1.0% 13.8% 6.2% 6.5% 10.3% 20.9%

FLOT Corp. Floater 0.26% 0.51% 0.54% 0.26% 0.39% -2.8% -8.3% -5.4% 6.9% 32.9%

BKLN Senior Loans 2.05% 5.32% 2.69% -0.38% 1.20% 2.58% -1.3% 1.0% -12.0% -16.9% 15.2%

PFF Preferred 0.88% 3.35% 2.91% 3.97% 5.01% 5.87% 3.5% 6.9% 14.8% 24.2% 10.7% 16.9%

CWB Convertible 0.87% 7.09% -0.64% -3.06% 6.62% 5.91% 0.8% -10.7% -10.6% -13.3% 27.6% 21.3%

BWX Intl DM Debt 1.52% 9.29% 8.22% 4.49% -0.95% -0.29% -1.7% 3.8% 4.1% -3.5% 3.6% 12.3%

WIP Intl Inflation 1.14% 9.10% 5.50% -2.42% -3.07% -0.34% 9.2% 8.1% -9.7% -11.2% -19.1% -5.5%

EMB EM Gov Debt USD 1.55% 6.76% 5.50% 3.61% 1.83% 5.39% 8.2% 27.0% 29.4% 29.6% 8.0% 22.8%

EMLC EM Gov Debt Local 2.34% 13.08% 8.57% -2.44% -6.98% -2.62% 3.6% 3.8% -2.7% 4.2% -10.5% 17.1%

EMCB EM Corp USD 2.29% 7.14% 2.36% -1.71% -0.34% 16.0% 9.5% -15.8% -23.1% 1.6%

HYEM EM HY Corp USD 2.14% 8.07% 4.82% 3.08% 1.73%

DBC Commodities 9.71% 14.08% -4.08% -20.28% -17.82% -14.49% -1.4% 14.4% 16.9% 12.2% -3.2% -2.5%

DBE Energy Cmdty 12.84% 15.04% -13.57% -34.37% -24.78% -18.84% -10.5% -11.7% 41.1% 49.4% 39.5% 11.5%

USO Crude Oil WTI 16.49% 17.10% -23.70% -44.90% -30.15% -24.20% -12.5% -16.5% 43.6% 59.3% 58.5% 20.4%

UNG Natural Gas 4.05% -18.37% -29.36% -48.51% -33.41% -32.16% 1.6% 24.6% 39.0% 18.5% 5.8% -1.5%

DBA Agriculture 2.33% 5.45% -0.94% -5.43% -7.02% -9.15% 9.1% 11.9% -5.1% -4.7% -12.8% -14.0%

DBB Industrial Metals 6.60% 13.07% 6.60% -19.22% -7.72% -11.28%

DBP Precious Metals 7.09% 17.93% 13.50% 8.70% -6.63% -8.39% -0.8% 18.7% 15.9% 9.4% -5.7% -3.5%

GLD Gold Physical 5.11% 15.62% 13.13% 8.97% -4.68% -4.09% -1.2% 20.4% 17.5% 10.8% -6.5% -4.1%

SLV Silver Physical 15.67% 24.94% 14.73% 10.05% -10.22% -18.38% 1.4% 9.4% 7.3% 3.1% 0.2% -0.9%

PPLT Platinum Physical 10.22% 23.44% 9.15% -6.25% -11.09% -11.02% 2.1% 10.9% 8.5% 1.5% -2.1% 2.4%

PALL Palladium Physical 10.79% 25.18% -7.75% -20.09% -4.23% -5.29% 0.1% -1.7% -5.6% -25.3% -27.5% -17.4%

UUP Bull USD -1.79% -6.81% -4.55% -3.25% 2.78% 2.84% -11.6% -12.4% -16.7% -39.6% 10.4% 1.3%

FXY JPYUSD 5.71% 13.65% 13.17% 11.74% -3.27% -5.66%

FXE EURUSD 0.59% 5.54% 3.79% 1.33% -5.02% -5.35%

Ticker Asset ClassTotal Return ETF Net Cash Flows as % of Initial AUM

Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash Flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.

16 May 2016

US ETF Compass


Figure 3: Global Multi Asset Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

ACWI Global Equities 12.5% 15.4% 17.0% 17.2% 13.8% 17.0% -19.4% -19.4% -24.1% (0.3) 0.4 0.3

VTI US Total Market 10.5% 14.3% 16.6% 16.6% 13.5% 16.0% -15.1% -15.1% -20.3% (0.0) 0.8 0.7

SPY S&P 500 (Large Cap) 10.2% 13.8% 16.2% 16.6% 13.3% 15.6% -13.0% -13.0% -18.6% 0.1 0.8 0.7

MDY S&P 400 (Mid Cap) 13.7% 16.5% 18.0% 17.1% 14.6% 18.2% -19.3% -19.3% -26.2% (0.1) 0.6 0.5

IWM Russell 2000 (SM Cap) 14.6% 18.7% 20.1% 18.8% 16.6% 20.5% -25.7% -25.7% -28.9% (0.3) 0.5 0.3

EFA Intl DM 17.6% 18.0% 18.4% 18.6% 15.2% 19.3% -23.0% -23.1% -25.9% (0.5) 0.1 0.1

VGK Europe 16.4% 18.7% 19.0% 19.1% 16.0% 22.2% -23.2% -24.9% -30.2% (0.5) 0.2 0.1

EZU Eurozone 18.1% 20.4% 19.7% 20.6% 17.8% 24.7% -23.0% -27.1% -37.6% (0.4) 0.2 (0.0)

EWJ Japan 28.1% 23.4% 22.3% 21.7% 19.0% 19.0% -21.5% -21.6% -21.6% (0.5) 0.0 0.2

EPP Pacific ex JP 19.3% 21.3% 22.1% 23.0% 17.9% 21.1% -26.8% -30.4% -30.4% (0.5) (0.2) (0.0)

EEM EM 19.1% 22.5% 23.4% 23.4% 19.9% 22.6% -33.4% -36.1% -37.3% (0.8) (0.3) (0.2)

ILF Latin America 31.4% 37.5% 34.5% 30.8% 26.4% 25.8% -43.2% -56.1% -61.2% (0.4) (0.5) (0.4)

EEMA EM Asia 17.1% 19.0% 20.8% 23.9% 18.8% -30.8% -31.5% (0.8) (0.1)

GUR EM Europe 20.6% 26.5% 27.7% 26.8% 25.5% 28.1% -37.8% -51.8% -60.4% (0.4) (0.4) (0.4)

MES Middle East 16.6% 22.4% 23.1% 23.5% 22.0% 20.6% -32.6% -42.4% -42.4% (0.8) 0.1 0.1

AFK Africa 26.8% 24.7% 23.9% 21.6% 17.8% 18.8% -43.6% -54.0% -54.0% (0.9) (0.5) (0.3)

FM Frontier Market 10.4% 11.5% 14.8% 15.3% 14.5% -28.2% -36.6% (1.1) (0.1)

BKF BRIC 21.4% 25.0% 24.6% 26.0% 21.9% 23.9% -38.9% -39.4% -44.9% (0.9) (0.3) (0.3)

AGG Fixed Income (Broad) 2.4% 2.7% 2.9% 3.4% 3.4% 3.3% -2.1% -5.1% -5.1% 0.7 0.6 1.1

GOVT US Treasury 3.1% 4.0% 3.8% 4.0% 3.7% -2.0% -4.6% 0.7 0.5

SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% -0.1% -0.1% -0.1% 1.0 0.5 0.3

SHY Short 0.7% 1.1% 1.0% 1.0% 0.8% 0.7% -0.7% -0.7% -0.7% 0.8 0.7 0.9

IEI Intermediate 2.4% 3.0% 3.0% 3.2% 3.2% 3.1% -2.0% -4.2% -4.2% 0.9 0.5 0.9

TLT Long 10.5% 12.4% 12.6% 14.5% 13.4% 15.1% -8.1% -17.0% -20.5% 0.4 0.3 0.6

TIP US Inflation 4.5% 5.0% 4.5% 5.0% 5.5% 5.6% -4.2% -10.3% -11.1% 0.2 (0.2) 0.4

MUB Municipal 1.6% 1.8% 2.0% 2.4% 4.1% 4.5% -1.4% -9.2% -9.7% 2.0 0.7 1.1

MBB Securitized 1.0% 1.6% 1.9% 2.4% 3.1% 2.7% -1.6% -4.8% -4.8% 0.8 0.7 1.0

LQD IG Corporates 4.0% 4.7% 5.0% 5.5% 5.6% 5.5% -3.6% -8.6% -8.6% 0.7 0.5 1.0

HYG HY Corporates 6.2% 9.2% 10.0% 8.2% 6.8% 8.2% -13.4% -13.4% -13.4% (0.3) 0.2 0.5

FLOT Floater 0.9% 0.9% 0.9% 1.0% 0.8% -0.6% -0.6% 0.3 0.5

BKLN Senior Loans 4.5% 4.3% 4.8% 4.1% 3.2% 4.4% -7.1% -7.1% -8.7% (0.1) 0.4 0.6

PFF Preferred 4.2% 8.7% 7.7% 6.6% 5.5% 8.3% -6.8% -8.7% -15.2% 0.6 0.9 0.7

CWB Convertible 7.8% 10.6% 11.3% 11.0% 10.0% 10.6% -15.9% -15.9% -17.1% (0.3) 0.7 0.6

BWX Intl DM Debt 7.2% 8.3% 7.4% 7.6% 7.5% 7.4% -6.4% -15.4% -15.4% 0.6 (0.1) (0.0)

WIP Intl Inflation 6.0% 8.1% 7.3% 7.5% 7.5% 7.7% -12.5% -19.1% -19.1% (0.3) (0.4) (0.0)

EMB EM Gov Debt USD 4.3% 5.7% 6.1% 6.2% 7.7% 7.2% -5.6% -14.5% -14.5% 0.6 0.2 0.8

EMLC EM Gov Debt Local 11.9% 12.2% 11.3% 10.7% 10.2% 10.4% -17.7% -32.0% -32.0% (0.2) (0.7) (0.3)

EMCB EM Corp USD 4.8% 5.3% 6.5% 7.5% 8.0% -11.9% -13.3% (0.2) (0.0)

HYEM EM HY Corp USD 5.1% 5.8% 6.3% 6.1% 7.7% -8.8% -14.0% 0.5 0.2

DBC Commodities 18.3% 19.1% 19.4% 18.6% 14.8% 15.8% -35.6% -56.0% -62.8% (1.1) (1.2) (0.9)

DBE Energy Cmdty 33.0% 34.7% 35.4% 33.0% 25.3% 24.0% -51.2% -71.4% -73.4% (1.0) (1.0) (0.8)

USO Crude Oil WTI 40.4% 50.2% 49.1% 44.4% 33.9% 31.7% -61.8% -79.8% -82.4% (1.0) (0.9) (0.8)

UNG Natural Gas 52.5% 48.2% 47.8% 40.3% 38.4% 39.1% -61.1% -79.1% -88.3% (1.2) (0.9) (0.8)

DBA Agriculture 15.2% 11.1% 11.3% 11.9% 11.1% 12.2% -15.9% -33.2% -42.6% (0.5) (0.6) (0.7)

DBB Industrial Metals 19.1% 18.9% 19.4% 19.3% 16.8% 19.3% -34.2% -39.0% -56.4% (1.0) (0.5) (0.6)

DBP Precious Metals 17.5% 20.5% 18.4% 16.1% 18.4% 20.1% -16.7% -34.6% -53.9% 0.5 (0.4) (0.4)

GLD Gold Physical 16.4% 19.8% 17.7% 15.2% 16.9% 17.8% -14.5% -29.6% -45.6% 0.6 (0.3) (0.2)

SLV Silver Physical 24.2% 24.0% 22.5% 22.0% 25.7% 31.2% -22.7% -44.6% -72.1% 0.5 (0.4) (0.6)

PPLT Platinum Physical 23.6% 24.7% 25.1% 22.0% 19.0% 19.6% -30.5% -47.7% -58.2% (0.3) (0.6) (0.6)

PALL Palladium Physical 21.4% 29.0% 33.4% 32.4% 25.2% 27.5% -41.2% -48.4% -48.4% (0.6) (0.2) (0.2)

UUP Bull USD 6.3% 7.7% 8.3% 8.7% 7.6% 7.7% -7.6% -9.0% -9.0% (0.4) 0.4 0.4

FXY JPYUSD 16.2% 12.8% 10.9% 9.9% 9.5% 9.3% -5.2% -25.5% -40.6% 1.2 (0.3) (0.6)

FXE EURUSD 6.4% 8.8% 9.7% 10.7% 9.0% 9.3% -9.0% -25.1% -30.1% 0.1 (0.6) (0.6)

Sharpe (TR / Vol)Ticker Asset Class

Annualized Volatility Max Drawdown

Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.

16 May 2016

US ETF Compass


US Equity Allocator heatmaps

Figure 4: US Equity Performance and Net ETF Cash Flow Trends


VTI US Total Market 0.66% 7.81% 0.07% -0.28% 10.75% 10.50% 0.6% 1.2% 4.0% 7.6% 12.1% 12.6%

SPY S&P 500 (Large Cap) 0.39% 7.06% 0.34% 1.11% 11.14% 10.89% 0.2% 0.5% 3.9% 7.8% 9.6% 10.1%

DIA DJI 0.61% 8.76% 1.91% 2.13% 8.68% 9.32% 0.2% 0.5% 3.9% 7.8% 9.6% 10.1%

QQQ NASDAQ-100 -3.19% 1.83% -6.15% -0.70% 15.79% 13.68% 0.2% 0.5% 3.9% 7.8% 9.6% 10.1%

IWF Russell 1000 Growth -0.92% 5.75% -1.47% 0.83% 12.28% 11.23% -0.4% -2.3% 0.4% 5.2% 12.8% 10.0%

IWD Russell 1000 Value 2.11% 9.52% 1.91% -0.48% 9.42% 9.93% 0.8% 3.3% 6.2% 9.8% 14.6% 14.0%

MDY S&P 400 (Mid Cap) 1.19% 11.13% 1.92% -1.31% 9.37% 8.90% 0.6% 1.1% 1.9% 5.9% 13.9% 10.0%

IWM Russell 2000 (SM Cap) 1.67% 9.58% -1.76% -5.82% 7.60% 7.04% 1.3% 1.1% 4.2% 8.0% 11.0% 8.2%

VIG Div. Growth -0.33% 7.12% 4.03% 3.15% 8.93% 9.48% 2.5% 8.1% 10.4% 6.0% 10.6% 25.1%

DVY Div. Yield 0.45% 11.04% 8.54% 8.39% 11.38% 12.65% 2.5% 8.1% 10.4% 6.0% 10.6% 25.1%

VYM Div. Yield 0.72% 7.96% 4.05% 3.44% 10.52% 11.96% 2.5% 8.1% 10.4% 6.0% 10.6% 25.1%

SDY Div. Yield & Growth 0.95% 12.45% 8.99% 10.53% 11.72% 12.52% 2.5% 8.1% 10.4% 6.0% 10.6% 25.1%

XLY Cons. Discretionary 0.13% 7.31% -1.37% 6.79% 14.81% 16.05% -4.2% -8.2% -13.4% -12.2% 8.5% 16.3%

PEJ Hotels, Rest & Leisure -3.52% 7.16% -7.16% -1.68% 9.96% 13.66%

XHB Home Builders -0.53% 10.46% -5.50% -2.21% 4.08% 12.83% -8.0% -16.0% -26.9% -20.9% -18.8% -0.6%

ITB Household Durables -1.81% 9.43% -1.98% 2.98% 3.43% 15.02% -8.0% -16.0% -26.9% -20.9% -18.8% -0.6%

PBS Media 3.08% 6.17% -4.44% -5.19% 8.39% 10.71%

XRT Retail -4.29% 8.06% -3.03% -7.54% 7.39% 11.86% -8.3% -13.2% -26.5% -36.6% -9.2% -23.9%

XLP Cons. Staples -1.43% 3.56% 6.18% 10.89% 11.33% 13.70% -4.2% 2.3% 4.6% 15.4% 12.4% 18.6%

PBJ Food Products -0.59% 2.33% -3.54% 3.93% 12.32% 11.65%

XLE Energy 9.06% 16.79% 0.85% -15.83% -2.51% -1.38% 2.3% 5.4% 15.5% 12.6% 26.1% 14.7%

OIH Energy Eq. & Serv. 12.89% 23.72% 0.68% -21.16% -9.34% -9.54% 0.3% -10.9% -9.1% -3.7% -4.8% -5.8%

XES Energy Eq. & Serv. 12.77% 26.40% -1.28% -33.76% -19.30% -14.17% 0.3% -10.9% -9.1% -3.7% -4.8% -5.8%

IEZ Energy Eq. & Serv. 12.83% 22.96% 0.52% -24.25% -9.30% -8.70% 0.3% -10.9% -9.1% -3.7% -4.8% -5.8%

XOP Energy E&P 17.76% 25.80% -2.87% -34.03% -13.54% -9.91% 13.8% -9.7% 18.2% 32.6% 39.9% 13.6%

IEO Energy E&P 11.91% 18.91% -6.01% -24.88% -5.16% -3.88% 13.8% -9.7% 18.2% 32.6% 39.9% 13.6%

AMLP MLPs 11.81% 21.58% -4.82% -21.92% -5.08% 0.60% 0.2% 4.6% 16.2% 16.4% 24.6% 61.2%

XLF Financials 3.60% 7.90% -2.05% -1.32% 9.59% 9.26% -0.8% -7.7% -7.6% 5.7% 8.6% 13.4%

KBWB Large Banks 7.68% 8.88% -4.01% -4.57% 8.50% 1.5% -12.5% -12.5% 10.2% 6.1% 9.5%

KRE Regional Banks 7.20% 10.56% -4.84% 0.01% 11.00% 10.55% 1.5% -12.5% -12.5% 10.2% 6.1% 9.5%

KCE Capital Markets 2.29% 9.36% -9.21% -19.25% 2.73% 2.99% -4.2% -26.6% -44.4% -42.6% 3.8% 1.0%

KIE Insurance 0.84% 6.81% -0.91% 6.26% 11.47% 10.94% -13.0% -22.3% -29.3% 31.5% 0.9% 6.9%

XLV Healthcare 2.97% 5.37% -1.40% -1.21% 15.54% 16.63% 1.7% -10.3% -12.4% -8.5% 16.0% 20.4%

IBB Biotech & Pharma 2.74% 0.40% -17.61% -19.62% 15.97% 20.24% -1.7% -9.1% -14.6% -7.9% 21.5% 19.4%

BBH Large Biotech 2.50% 4.54% -13.92% -14.75% 15.14% 25.71% -1.7% -9.1% -14.6% -7.9% 21.5% 19.4%

IHI HC Eq. & Supplies 4.96% 11.83% 8.82% 11.37% 20.28% 14.11% 3.5% 5.0% 23.6% 11.0% 21.9% 4.5%

IHF HC Providers & Serv 3.52% 9.21% 1.79% -1.56% 17.33% 14.54% 3.5% 13.6% -1.7% 7.5% 38.0% 24.3%

PPH Large Pharma 2.39% -2.25% -8.97% -15.83% 10.14% 13.32% -3.6% -13.0% -16.7% -27.8% 5.0% 7.1%

XLI Industrials 1.24% 12.91% 4.65% 3.17% 12.90% 10.01% 3.8% 7.2% -2.6% -12.0% 9.4% 5.5%

ITA Aerospace & Def 4.26% 11.68% 3.54% 2.38% 18.62% 15.05% 1.6% -5.7% 23.6% 20.0% 90.0% 31.6%

IYT Transportation -0.94% 14.26% -2.87% -7.35% 9.71% 8.37% -4.6% -5.8% -31.0% -46.9% 1.1% -1.8%

XLB Materials 5.11% 21.91% 5.17% -4.58% 8.26% 5.14% 15.3% 29.3% 27.0% 7.0% -1.5% -3.9%

XME Metals & Mining 20.33% 77.75% 45.06% -10.89% -11.18% -18.81% 7.6% 53.9% 70.0% 27.0% 2.7% -1.2%

VNQ Real Estate -2.35% 7.49% 5.02% 7.81% 7.14% 10.00% 1.4% 3.2% 8.2% 6.9% 7.9% 15.9%

VGT Technology -4.67% 2.82% -4.77% -1.55% 13.99% 10.84% 1.2% -1.3% 0.1% 1.0% 10.4% 7.6%

IGN Comm. Equipment -2.71% 8.71% -6.44% -6.09% 8.82% 0.69%

FDN Int. Software & Serv. 1.71% 5.13% -6.64% 4.48% 17.03% 13.02% 1.6% -15.9% -10.7% 16.5% 40.2% 36.5%

SMH Semiconductors -4.76% 5.51% -1.17% -3.39% 14.11% 10.42% 18.3% 12.9% 3.7% -28.9% 9.5% -12.6%

IGV Software -0.28% 6.61% -2.08% 1.62% 14.37% 9.70% 1.9% -19.0% -25.1% -34.5% -15.8% -9.0%

VOX Telecom -0.19% 9.55% 9.34% 7.63% 8.66% 9.47% 7.0% 32.9% 53.8% 15.8% 21.1% 12.8%

XLU Utilities -2.42% 7.41% 12.68% 13.57% 9.24% 12.03% 1.3% 34.2% 34.6% 40.0% 10.6% 14.0%



16 May 2016

US ETF Compass


Figure 5: US Equity Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

VTI US Total Market 10.5% 14.3% 16.6% 16.6% 13.5% 16.0% -15.1% -15.1% -20.3% (0.0) 0.8 0.7

SPY S&P 500 (Large Cap) 10.2% 13.8% 16.2% 16.6% 13.3% 15.6% -13.0% -13.0% -18.6% 0.1 0.8 0.7

DIA DJI 9.4% 12.8% 15.7% 16.1% 13.0% 14.6% -13.9% -13.9% -16.0% 0.1 0.7 0.6

QQQ NASDAQ-100 13.6% 17.6% 19.8% 19.9% 15.7% 17.5% -16.1% -16.1% -16.1% (0.0) 1.0 0.8

IWF Russell 1000 Growth 10.1% 14.3% 16.5% 16.9% 13.7% 15.9% -13.8% -13.8% -18.3% 0.0 0.9 0.7

IWD Russell 1000 Value 11.7% 14.8% 17.0% 16.9% 13.4% 16.1% -16.2% -16.2% -21.4% (0.0) 0.7 0.6

MDY S&P 400 (Mid Cap) 13.7% 16.5% 18.0% 17.1% 14.6% 18.2% -19.3% -19.3% -26.2% (0.1) 0.6 0.5

IWM Russell 2000 (SM Cap) 14.6% 18.7% 20.1% 18.8% 16.6% 20.5% -25.7% -25.7% -28.9% (0.3) 0.5 0.3

VIG Div. Growth 9.2% 11.4% 13.9% 14.9% 12.4% 14.3% -11.8% -12.1% -16.9% 0.2 0.7 0.7

DVY Div. Yield 11.6% 11.0% 14.0% 14.1% 12.1% 13.5% -10.3% -12.0% -15.6% 0.6 0.9 0.9

VYM Div. Yield 9.3% 12.0% 14.9% 15.7% 12.6% 13.8% -13.0% -13.0% -15.1% 0.2 0.8 0.9

SDY Div. Yield & Growth 10.3% 11.8% 14.4% 14.7% 12.2% 14.1% -10.6% -10.8% -16.1% 0.7 1.0 0.9

XLY Cons. Discretionary 10.9% 15.7% 17.5% 17.4% 14.7% 16.8% -15.8% -15.8% -18.4% 0.4 1.0 1.0

PEJ Hotels, Rest & Leisure 12.5% 19.6% 21.0% 20.3% 17.4% 19.5% -21.4% -21.7% -23.9% (0.1) 0.6 0.7

XHB Home Builders 16.8% 19.9% 21.6% 20.5% 19.3% 24.2% -28.2% -28.2% -33.8% (0.1) 0.2 0.5

ITB Household Durables 18.8% 23.2% 24.8% 23.2% 23.1% 27.7% -26.4% -26.4% -37.2% 0.1 0.1 0.5

PBS Media 12.7% 19.2% 19.7% 18.6% 16.6% 19.2% -23.2% -23.2% -27.7% (0.3) 0.5 0.6

XRT Retail 20.7% 19.6% 21.6% 19.8% 16.5% 19.7% -24.2% -24.2% -24.2% (0.4) 0.4 0.6

XLP Cons. Staples 11.9% 10.6% 13.5% 14.1% 11.9% 12.2% -10.1% -10.1% -11.9% 0.8 1.0 1.1

PBJ Food Products 14.2% 13.4% 15.4% 15.6% 13.6% 14.8% -11.0% -11.0% -15.7% 0.3 0.9 0.8

XLE Energy 22.1% 26.9% 31.2% 28.3% 21.7% 23.2% -36.1% -46.7% -46.7% (0.6) (0.1) (0.1)

OIH Energy Eq. & Serv. 31.9% 37.4% 38.8% 36.9% 28.1% 29.8% -44.0% -61.3% -61.3% (0.6) (0.3) (0.3)

XES Energy Eq. & Serv. 38.5% 50.9% 50.3% 46.2% 33.9% 34.4% -55.8% -72.8% -72.8% (0.7) (0.6) (0.4)

IEZ Energy Eq. & Serv. 33.2% 38.7% 40.0% 37.3% 28.3% 30.5% -46.1% -61.8% -61.8% (0.7) (0.3) (0.3)

XOP Energy E&P 39.0% 48.0% 50.5% 45.2% 36.0% 36.1% -56.6% -71.0% -71.0% (0.8) (0.4) (0.3)

IEO Energy E&P 31.7% 39.3% 41.1% 35.8% 27.4% 28.9% -46.4% -56.8% -56.8% (0.7) (0.2) (0.1)

AMLP MLPs 32.5% 48.6% 54.9% 43.0% 26.8% 22.2% -49.2% -53.1% -53.1% (0.5) (0.2) 0.0

XLF Financials 15.8% 20.6% 20.9% 19.9% 16.0% 20.8% -22.3% -22.3% -30.6% (0.1) 0.6 0.4

KBWB Large Banks 23.4% 28.7% 27.2% 24.8% 19.4% -29.1% -29.1% (0.2) 0.4

KRE Regional Banks 22.9% 27.7% 26.2% 24.0% 20.0% 24.1% -28.0% -28.0% -29.9% 0.0 0.5 0.4

KCE Capital Markets 27.8% 28.9% 28.5% 24.8% 20.4% 24.3% -36.4% -36.4% -37.1% (0.8) 0.1 0.1

KIE Insurance 15.1% 15.8% 16.6% 16.0% 13.9% 18.8% -15.2% -15.2% -32.6% 0.4 0.8 0.6

XLV Healthcare 15.6% 16.3% 18.2% 19.3% 15.9% 15.9% -17.1% -17.1% -17.3% (0.1) 1.0 1.0

IBB Biotech & Pharma 32.7% 33.3% 33.3% 32.6% 27.3% 25.5% -38.7% -38.7% -38.7% (0.6) 0.6 0.8

BBH Large Biotech 28.9% 28.8% 29.4% 29.6% 26.2% 24.3% -33.8% -33.8% -33.8% (0.5) 0.6 1.1

IHI HC Eq. & Supplies 14.8% 16.4% 18.0% 17.9% 14.9% 17.9% -14.2% -14.2% -22.0% 0.6 1.4 0.8

IHF HC Providers & Serv 15.4% 20.4% 21.7% 21.6% 16.9% 18.9% -26.3% -26.3% -27.2% (0.1) 1.0 0.8

PPH Large Pharma 18.7% 19.7% 19.5% 19.7% 15.5% 15.2% -23.8% -23.8% -23.8% (0.8) 0.7 0.9

XLI Industrials 10.8% 15.0% 16.5% 17.1% 14.8% 18.0% -14.7% -15.7% -25.8% 0.2 0.9 0.6

ITA Aerospace & Def 11.8% 15.2% 16.8% 17.0% 15.4% 18.0% -16.6% -17.2% -23.2% 0.1 1.2 0.8

IYT Transportation 17.1% 20.4% 21.3% 20.6% 17.6% 20.1% -23.6% -27.3% -28.1% (0.4) 0.6 0.4

XLB Materials 14.7% 20.7% 22.0% 21.0% 16.7% 20.4% -26.4% -26.9% -29.4% (0.2) 0.5 0.3

XME Metals & Mining 32.6% 46.1% 43.8% 40.4% 30.5% 33.1% -58.1% -71.8% -82.9% (0.3) (0.4) (0.6)

VNQ Real Estate 12.2% 16.7% 18.3% 17.6% 15.6% 18.4% -11.4% -18.0% -22.6% 0.4 0.5 0.5

VGT Technology 12.9% 17.7% 19.6% 19.6% 15.7% 18.0% -16.4% -16.4% -18.6% (0.1) 0.9 0.6

IGN Comm. Equipment 17.7% 22.7% 22.3% 20.6% 17.7% 22.2% -24.9% -24.9% -35.6% (0.3) 0.5 0.0

FDN Int. Software & Serv. 16.2% 25.3% 24.4% 22.7% 19.9% 21.7% -25.8% -25.8% -26.0% 0.2 0.9 0.6

SMH Semiconductors 17.9% 21.6% 23.0% 23.3% 19.5% 21.5% -23.7% -23.7% -25.1% (0.1) 0.7 0.5

IGV Software 14.9% 24.3% 22.5% 20.9% 17.7% 20.8% -21.5% -21.5% -26.3% 0.1 0.8 0.5

VOX Telecom 12.7% 13.3% 16.4% 16.4% 14.0% 15.4% -10.8% -12.3% -19.8% 0.5 0.6 0.6

XLU Utilities 15.6% 14.2% 15.8% 16.0% 14.9% 14.4% -10.7% -15.7% -15.7% 0.8 0.6 0.8

Ticker Asset ClassMax DrawdownAnnualized Volatility Sharpe (TR / Vol)


16 May 2016

US ETF Compass


International Equity Allocator heatmaps

Figure 6: International Equity Performance and Net ETF Cash Flow Trends


EFA Intl DM 2.22% 5.32% -3.55% -9.88% 0.98% 1.42% -0.9% -3.8% 1.1% 12.3% 29.0% 22.9%

EWC Canada 7.13% 21.47% 8.17% -10.91% -1.02% -3.40% 4.0% 46.4% 34.1% 18.4% -9.8% -9.0%

EIS Israel 1.03% 4.82% -2.89% -4.18% 4.97% -1.66%

VGK Europe 2.76% 6.44% -3.32% -9.11% 2.53% 1.31% -0.2% -5.0% -3.5% 17.2% 44.1% 31.6%

EDEN Denmark 1.29% 5.78% 8.08% 5.35% 18.22%

NORW Norway 8.71% 18.13% 4.63% -14.38% -7.51% -5.97%

EWD Sweden 2.65% 10.45% 0.35% -7.93% 0.63% 0.29%

EWL Switzerland 2.96% 4.97% -3.65% -9.26% 2.39% 4.30% -2.4% -5.6% -0.7% 12.2% 13.3% 18.8%

EWU UK 4.02% 6.18% -4.78% -11.82% -0.32% 0.87% -4.2% -14.2% -17.9% -10.2% 20.1% 14.8%

EZU Eurozone 2.56% 6.23% -4.08% -8.81% 3.19% -0.61% -5.7% -17.7% -15.0% -2.7% 72.5% 46.8%

EWO Austria 3.31% 13.73% 1.99% -2.33% -1.09% -5.11%

EWK Belgium 1.47% 4.43% 2.82% 4.83% 10.18% 6.39%

EFNL Finland 0.69% 0.22% -2.04% -2.39% 7.91%

EWQ France 2.36% 6.27% -3.68% -7.00% 2.95% -0.35%

EWG Germany 1.94% 7.81% -3.25% -9.91% 2.84% 0.34% -8.6% -26.0% -26.3% -24.1% 30.7% 10.4%

EIRL Ireland -0.52% 3.12% 2.02% 3.64% 13.99% 13.28%

EWI Italy 4.18% 5.30% -13.92% -15.04% 1.14% -6.35% -3.7% -9.1% -27.8% 3.2% 20.9% 47.9%

EWN Netherlands 0.49% 5.78% -0.51% -3.62% 7.14% 2.84%

PGAL Portugal 1.48% 7.30% -0.37% -12.32%

EWP Spain 6.11% 9.41% -6.60% -16.90% 1.10% -4.13% -7.5% -15.5% -29.6% -22.1% 77.3% 46.0%

EWJ Japan 0.09% -0.70% -6.63% -10.10% 0.41% 3.22% -7.4% -18.6% -19.1% -8.6% 17.7% 27.8%

EPP Pacific ex JP 1.86% 12.92% 4.78% -11.65% -4.12% -0.39% 3.3% -1.0% -7.7% -14.0% -12.4% -6.5%

EWA Australia 3.16% 12.98% 8.28% -10.02% -6.34% -1.95% 5.6% 23.7% 14.9% 13.4% -4.0% -6.8%

EWH Hong Kong 0.05% 10.07% -2.51% -14.85% 1.92% 3.39% -0.6% -21.4% -28.9% -30.2% -14.3% 0.3%

ENZL New Zealand 1.68% 19.25% 17.30% 7.82% 6.56% 10.64%

EWS Singapore 0.09% 15.76% 0.15% -17.44% -5.63% -1.85% 9.8% 8.1% 0.0% -11.4% -18.0% -13.4%

EEM EM 0.41% 12.50% 0.15% -17.95% -5.32% -5.26% 1.6% 9.1% 5.7% -0.6% -0.6% 3.3%

ILF Latin America 7.83% 32.21% 16.47% -13.40% -12.06% -10.44% 4.6% 34.3% 34.9% 8.6% -6.2% -5.1%

EWZ Brazil 12.21% 48.81% 30.48% -16.04% -16.24% -15.17% 6.9% 39.5% 47.2% 15.2% -6.1% -6.0%

ECH Chile 3.33% 16.86% 9.68% -8.03% -13.98% -12.06% 3.3% 77.4% 35.3% 40.3% 1.1% -3.5%

GXG Colombia 4.51% 28.34% 10.79% -22.59% -19.93% -12.84%

EWW Mexico 0.63% 11.68% 0.22% -5.78% -7.62% -1.86% -1.6% 24.7% 17.1% -12.3% -9.6% 3.9%

EPU Peru 18.82% 59.83% 37.37% 4.00% -6.23% -3.55% 14.4% 53.9% 45.6% 18.7% 1.8% -4.6%

EEMA EM Asia -1.45% 7.90% -3.81% -19.98% -1.55% -1.0% 2.0% -4.2% -9.8% 6.7% 4.2%

FXI China H -0.70% 7.47% -10.49% -32.92% -1.12% -3.32% -4.7% -9.2% -8.3% -3.6% -1.4% 1.7%

ASHR China A -2.57% 7.89% -12.64% -36.36% 0.3% 14.8% -6.4% -36.4% 104.9% 75.8%

INDA India -0.22% 4.16% -4.29% -6.85% 1.48% 1.2% 4.4% -5.0% -9.0% 45.1% 25.8%

EIDO Indonesia -1.99% 6.65% 14.81% -5.34% -12.12% -4.32% 3.5% 76.5% 68.2% 6.0% -2.0% 6.9%

EWM Malaysia -4.04% 5.43% 13.32% -13.20% -7.20% -2.21% 12.2% 55.1% 39.1% 11.6% -13.6% -8.9%

EPHE Philippines -4.42% 8.49% -0.15% -12.22% -4.87% 7.72%

EWY South Korea -1.08% 9.45% -1.64% -12.56% -2.05% -4.11% 0.0% 8.8% 10.3% -2.0% 9.5% -0.4%

EWT Taiwan -5.77% 5.92% -3.14% -18.11% -0.03% -1.46% 0.0% 3.4% -19.3% -23.9% 0.1% -2.2%

THD Thailand 0.83% 10.85% 5.24% -11.16% -8.19% 1.57% 6.0% 53.3% 49.2% -2.9% -16.0% -8.9%

GUR EM Europe 6.14% 24.47% 8.64% -9.64% -9.74% -11.19% -0.1% 7.3% 4.0% 2.4% 25.6% 2.5%

GREK Greece 4.25% 11.03% -24.13% -35.54% -22.58%

EPOL Poland -6.35% 12.27% -6.03% -24.55% -7.14% -10.67%

RSX Russia 8.44% 22.60% 9.97% -6.72% -9.78% -12.96% -2.5% 2.2% 2.1% -1.0% 37.1% 1.6%

TUR Turkey 4.84% 23.58% 14.19% 0.35% -12.70% -6.41% 12.1% 28.1% 12.1% -2.1% -5.9% 0.2%

MES Middle East 1.64% 14.90% -3.83% -18.05% 1.50% 2.63%

QAT Qatar -3.04% 10.69% -9.64% -16.68%

UAE UAE 3.96% 20.46% 2.33% -16.78%

AFK Africa 12.21% 28.51% 6.98% -18.68% -8.27% -6.36% 2.7% 49.3% 17.6% 16.9% 3.4% -0.1%

EGPT Egypt 2.79% 13.77% -1.76% -25.79% -1.96% -4.83%

EZA South Africa 5.07% 21.54% -0.47% -19.12% -2.23% -3.64% 2.4% 57.9% 23.9% 24.0% 3.0% -0.1%

FM Frontier Market 2.36% 9.59% -5.63% -16.88% -0.88% 1.9% -9.4% -12.0% -8.6% 24.4% 22.9%

ARGT Argentina 7.35% 20.90% 4.83% -4.98% 6.85% -6.49%

NGE Nigeria 4.43% 5.29% -14.89% -34.75% -22.70%

PAK Pakistan 5.13% 12.66% -0.33% -7.80%

VNM Vietnam 3.00% 3.30% -11.73% -16.97% -6.63% -7.26% 0.0% -5.1% -11.6% -1.2% 4.7% 12.2%

BKF BRIC 2.46% 14.45% -1.42% -23.04% -5.77% -7.29% -1.2% -3.2% -9.2% -19.0% -25.5% -16.4%



16 May 2016

US ETF Compass


Figure 7: International Equity Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

EFA Intl DM 17.6% 18.0% 18.4% 18.6% 15.2% 19.3% -23.0% -23.1% -25.9% (0.5) 0.1 0.1

EWC Canada 16.5% 22.1% 23.7% 21.7% 16.7% 19.0% -35.1% -41.4% -41.4% (0.5) (0.1) (0.2)

EIS Israel 12.3% 13.5% 13.9% 15.8% 14.5% 19.1% -20.9% -20.9% -38.0% (0.3) 0.3 (0.1)

VGK Europe 16.4% 18.7% 19.0% 19.1% 16.0% 22.2% -23.2% -24.9% -30.2% (0.5) 0.2 0.1

EDEN Denmark 13.8% 19.3% 18.4% 18.0% 16.7% -14.1% -17.2% 0.3 1.1

NORW Norway 24.3% 29.2% 28.5% 27.3% 23.2% 27.6% -38.3% -50.9% -50.9% (0.5) (0.3) (0.2)

EWD Sweden 20.5% 22.4% 22.2% 21.6% 18.9% 26.3% -23.4% -25.6% -36.2% (0.4) 0.0 0.0

EWL Switzerland 14.3% 14.9% 15.8% 16.0% 13.7% 17.4% -21.4% -21.4% -25.5% (0.6) 0.2 0.2

EWU UK 16.6% 20.2% 21.1% 20.6% 16.3% 19.5% -25.9% -29.3% -29.3% (0.6) (0.0) 0.0

EZU Eurozone 18.1% 20.4% 19.7% 20.6% 17.8% 24.7% -23.0% -27.1% -37.6% (0.4) 0.2 (0.0)

EWO Austria 18.1% 21.0% 21.0% 20.4% 18.1% 24.8% -23.8% -32.6% -45.2% (0.1) (0.1) (0.2)

EWK Belgium 12.0% 16.0% 16.3% 16.7% 15.1% 20.4% -13.5% -15.0% -33.3% 0.3 0.7 0.3

EFNL Finland 19.5% 20.9% 20.1% 20.4% 18.6% -16.0% -19.2% (0.1) 0.4

EWQ France 17.7% 19.5% 19.4% 20.7% 17.7% 24.9% -20.7% -25.8% -36.2% (0.3) 0.2 (0.0)

EWG Germany 19.1% 20.5% 20.3% 21.4% 18.2% 25.0% -23.9% -26.6% -37.8% (0.5) 0.2 0.0

EIRL Ireland 15.6% 18.7% 17.1% 16.8% 16.3% 21.3% -15.4% -22.7% -27.3% 0.2 0.9 0.6

EWI Italy 28.4% 30.0% 26.7% 26.6% 23.6% 31.0% -32.0% -39.2% -51.1% (0.6) 0.0 (0.2)

EWN Netherlands 14.0% 18.1% 18.7% 19.4% 16.5% 21.9% -19.6% -19.6% -33.9% (0.2) 0.4 0.1

PGAL Portugal 18.6% 23.6% 24.4% 25.5% -29.3% (0.5)

EWP Spain 21.2% 24.9% 23.4% 23.1% 21.5% 28.9% -32.0% -40.8% -50.9% (0.7) 0.1 (0.1)

EWJ Japan 28.1% 23.4% 22.3% 21.7% 19.0% 19.0% -21.5% -21.6% -21.6% (0.5) 0.0 0.2

EPP Pacific ex JP 19.3% 21.3% 22.1% 23.0% 17.9% 21.1% -26.8% -30.4% -30.4% (0.5) (0.2) (0.0)

EWA Australia 24.0% 25.6% 26.4% 26.9% 20.9% 23.6% -27.8% -35.4% -35.4% (0.4) (0.3) (0.1)

EWH Hong Kong 15.0% 17.0% 18.0% 22.4% 18.2% 19.3% -29.5% -29.5% -29.5% (0.7) 0.1 0.2

ENZL New Zealand 17.0% 17.8% 17.3% 17.4% 15.8% 18.6% -21.2% -23.2% -23.2% 0.4 0.4 0.6

EWS Singapore 16.9% 21.2% 21.1% 20.1% 16.1% 18.7% -31.7% -32.5% -32.5% (0.9) (0.4) (0.1)

EEM EM 19.1% 22.5% 23.4% 23.4% 19.9% 22.6% -33.4% -36.1% -37.3% (0.8) (0.3) (0.2)

ILF Latin America 31.4% 37.5% 34.5% 30.8% 26.4% 25.8% -43.2% -56.1% -61.2% (0.4) (0.5) (0.4)

EWZ Brazil 41.9% 50.9% 47.0% 41.4% 33.8% 31.3% -52.0% -66.5% -74.2% (0.4) (0.5) (0.5)

ECH Chile 18.2% 19.8% 20.5% 21.4% 20.2% 21.5% -31.8% -51.2% -59.1% (0.4) (0.7) (0.6)

GXG Colombia 24.0% 28.9% 33.2% 30.9% 24.4% 22.3% -47.6% -67.0% -68.3% (0.7) (0.8) (0.6)

EWW Mexico 21.7% 25.0% 24.8% 21.9% 20.3% 22.1% -25.9% -37.6% -39.2% (0.3) (0.4) (0.1)

EPU Peru 47.4% 34.0% 28.6% 26.1% 20.6% 22.6% -42.0% -54.2% -60.6% 0.2 (0.3) (0.2)

EEMA EM Asia 17.1% 19.0% 20.8% 23.9% 18.8% -30.8% -31.5% (0.8) (0.1)

FXI China H 24.0% 26.0% 26.6% 30.7% 25.2% 26.4% -44.0% -44.6% -44.6% (1.1) (0.0) (0.1)

ASHR China A 21.2% 33.6% 39.1% 53.6% -50.2% (0.7)

INDA India 20.7% 23.0% 21.8% 23.1% 23.5% -24.3% -28.7% (0.3) 0.1

EIDO Indonesia 19.8% 24.5% 27.1% 31.4% 30.6% 29.9% -36.8% -52.1% -52.1% (0.2) (0.4) (0.1)

EWM Malaysia 18.1% 23.3% 25.3% 25.9% 20.1% 19.2% -30.7% -40.2% -40.2% (0.5) (0.4) (0.1)

EPHE Philippines 15.5% 18.0% 20.9% 22.3% 23.0% 22.0% -29.2% -31.8% -31.8% (0.5) (0.2) 0.4

EWY South Korea 17.2% 20.9% 22.5% 21.7% 18.5% 23.3% -27.5% -32.8% -34.7% (0.6) (0.1) (0.2)

EWT Taiwan 18.6% 21.1% 22.9% 23.4% 18.7% 20.6% -29.6% -31.3% -31.3% (0.8) (0.0) (0.1)

THD Thailand 21.5% 20.7% 22.5% 22.6% 24.4% 24.8% -28.4% -38.0% -38.0% (0.5) (0.3) 0.1

GUR EM Europe 20.6% 26.5% 27.7% 26.8% 25.5% 28.1% -37.8% -51.8% -60.4% (0.4) (0.4) (0.4)

GREK Greece 36.7% 41.8% 38.4% 51.2% 46.9% -54.9% -77.4% (0.7) (0.5)

EPOL Poland 23.4% 23.1% 24.4% 24.1% 23.4% 29.3% -39.5% -47.0% -52.8% (1.0) (0.3) (0.4)

RSX Russia 28.2% 37.1% 39.4% 37.0% 36.2% 35.5% -39.4% -55.1% -65.6% (0.2) (0.3) (0.4)

TUR Turkey 20.6% 27.5% 31.4% 31.9% 32.3% 32.3% -33.3% -53.9% -53.9% 0.0 (0.4) (0.2)

MES Middle East 16.6% 22.4% 23.1% 23.5% 22.0% 20.6% -32.6% -42.4% -42.4% (0.8) 0.1 0.1

QAT Qatar 16.4% 18.3% 22.9% 22.9% -32.8% (0.7)

UAE UAE 14.1% 24.5% 27.9% 28.0% -36.5% (0.6)

AFK Africa 26.8% 24.7% 23.9% 21.6% 17.8% 18.8% -43.6% -54.0% -54.0% (0.9) (0.5) (0.3)

EGPT Egypt 27.0% 27.3% 32.4% 31.7% 28.2% 29.0% -41.6% -55.7% -55.7% (0.8) (0.1) (0.2)

EZA South Africa 26.8% 35.2% 39.7% 34.8% 28.8% 29.4% -43.5% -45.0% -45.0% (0.5) (0.1) (0.1)

FM Frontier Market 10.4% 11.5% 14.8% 15.3% 14.5% -28.2% -36.6% (1.1) (0.1)

ARGT Argentina 25.2% 22.4% 23.7% 26.5% 24.4% 26.5% -31.1% -34.0% -49.5% (0.2) 0.3 (0.2)

NGE Nigeria 21.8% 24.6% 26.0% 24.9% 26.1% -43.7% -62.8% (1.4) (0.9)

PAK Pakistan 16.8% 16.6% 16.5% 15.5% -22.9% (0.5)

VNM Vietnam 18.3% 21.1% 22.7% 26.0% 22.6% 26.8% -32.9% -42.9% -42.9% (0.7) (0.3) (0.3)

BKF BRIC 21.4% 25.0% 24.6% 26.0% 21.9% 23.9% -38.9% -39.4% -44.9% (0.9) (0.3) (0.3)

Ticker Asset ClassAnnualized Volatility Max Drawdown Sharpe (TR / Vol)


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Cross Asset Correlations (3Y)

Figure 8: 3-Year Cross Asset Class Correlations of Weekly Total Returns

3Y - Cross Asset Class Correlation of Weekly Total Returns

Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE

Global Equities ACWI 0.96 0.96 0.85 -0.12 -0.26 0.03 0.03 -0.06 0.06 0.68 0.12 0.59 0.43 0.89 0.03 0.28 0.55 0.60 0.50 0.50 0.48 0.25 0.41 -0.08 0.05 -0.35 -0.07

US Total Market VTI 0.96 0.87 0.73 -0.15 -0.30 -0.01 -0.02 -0.10 0.04 0.67 0.11 0.58 0.42 0.91 -0.06 0.17 0.46 0.49 0.43 0.42 0.42 0.19 0.32 -0.15 0.12 -0.39 -0.13

Intl DM EFA 0.96 0.87 0.81 -0.11 -0.24 0.03 0.04 -0.07 0.04 0.63 0.12 0.55 0.40 0.82 0.08 0.33 0.53 0.60 0.47 0.50 0.47 0.26 0.44 -0.03 -0.03 -0.33 0.00

EM EEM 0.85 0.73 0.81 0.00 -0.13 0.15 0.10 0.06 0.13 0.60 0.15 0.53 0.36 0.70 0.15 0.41 0.62 0.74 0.55 0.50 0.43 0.30 0.45 0.06 -0.01 -0.20 -0.03

US Agg Bond IG AGG -0.12 -0.15 -0.11 0.00 0.95 0.88 0.76 0.90 0.91 0.12 -0.02 0.01 0.34 -0.07 0.63 0.58 0.45 0.31 0.26 -0.18 -0.21 -0.06 -0.09 0.29 -0.30 0.48 0.23

US Treasury GOVT -0.26 -0.30 -0.24 -0.13 0.95 0.80 0.68 0.83 0.81 -0.07 -0.08 -0.15 0.20 -0.23 0.60 0.50 0.28 0.18 0.11 -0.29 -0.33 -0.14 -0.18 0.32 -0.30 0.51 0.24

US Inflation TIP 0.03 -0.01 0.03 0.15 0.88 0.80 0.70 0.83 0.84 0.24 -0.01 0.13 0.40 0.05 0.61 0.64 0.54 0.47 0.36 0.00 -0.03 0.01 0.07 0.28 -0.30 0.38 0.23

Municipal MUB 0.03 -0.02 0.04 0.10 0.76 0.68 0.70 0.77 0.73 0.21 0.04 0.07 0.39 0.07 0.50 0.50 0.53 0.34 0.27 -0.10 -0.12 -0.07 -0.04 0.24 -0.21 0.34 0.15

MBS MBB -0.06 -0.10 -0.07 0.06 0.90 0.83 0.83 0.77 0.81 0.18 -0.01 0.05 0.39 0.00 0.58 0.55 0.51 0.34 0.35 -0.15 -0.17 -0.08 -0.07 0.26 -0.28 0.43 0.21

IG Corporates LQD 0.06 0.04 0.04 0.13 0.91 0.81 0.84 0.73 0.81 0.35 0.01 0.23 0.50 0.13 0.54 0.57 0.58 0.41 0.38 -0.03 -0.05 -0.01 -0.05 0.23 -0.21 0.36 0.13

HY Corporates HYG 0.68 0.67 0.63 0.60 0.12 -0.07 0.24 0.21 0.18 0.35 0.16 0.77 0.57 0.70 0.15 0.31 0.69 0.61 0.60 0.51 0.50 0.21 0.31 0.07 -0.03 -0.11 -0.02

Floater FLOT 0.12 0.11 0.12 0.15 -0.02 -0.08 -0.01 0.04 -0.01 0.01 0.16 0.16 0.02 0.05 0.12 0.13 0.05 0.14 0.17 0.16 0.12 0.16 0.11 0.15 -0.15 0.09 0.11

Senior Loans BKLN 0.59 0.58 0.55 0.53 0.01 -0.15 0.13 0.07 0.05 0.23 0.77 0.16 0.50 0.63 0.04 0.22 0.53 0.49 0.52 0.44 0.42 0.20 0.33 0.01 0.07 -0.19 -0.11

Preferred PFF 0.43 0.42 0.40 0.36 0.34 0.20 0.40 0.39 0.39 0.50 0.57 0.02 0.50 0.52 0.13 0.29 0.54 0.38 0.44 0.17 0.19 0.13 0.11 0.00 0.05 -0.09 -0.09

Convertible CWB 0.89 0.91 0.82 0.70 -0.07 -0.23 0.05 0.07 0.00 0.13 0.70 0.05 0.63 0.52 -0.03 0.17 0.53 0.45 0.46 0.40 0.40 0.15 0.30 -0.12 0.12 -0.35 -0.13

Intl DM Debt BWX 0.03 -0.06 0.08 0.15 0.63 0.60 0.61 0.50 0.58 0.54 0.15 0.12 0.04 0.13 -0.03 0.89 0.39 0.52 0.25 0.17 0.06 0.20 0.19 0.53 -0.87 0.71 0.78

Intl Inflation WIP 0.28 0.17 0.33 0.41 0.58 0.50 0.64 0.50 0.55 0.57 0.31 0.13 0.22 0.29 0.17 0.89 0.57 0.73 0.42 0.31 0.19 0.28 0.32 0.48 -0.74 0.46 0.65

EM Gov Debt USD EMB 0.55 0.46 0.53 0.62 0.45 0.28 0.54 0.53 0.51 0.58 0.69 0.05 0.53 0.54 0.53 0.39 0.57 0.74 0.73 0.30 0.28 0.13 0.23 0.13 -0.12 0.05 0.05

EM Gov Debt Local EMLC 0.60 0.49 0.60 0.74 0.31 0.18 0.47 0.34 0.34 0.41 0.61 0.14 0.49 0.38 0.45 0.52 0.73 0.74 0.62 0.43 0.33 0.30 0.40 0.28 -0.34 0.11 0.28

EM Corp USD EMCB 0.50 0.43 0.47 0.55 0.26 0.11 0.36 0.27 0.35 0.38 0.60 0.17 0.52 0.44 0.46 0.25 0.42 0.73 0.62 0.28 0.28 0.11 0.23 0.01 -0.05 0.02 -0.01

Commodities DBC 0.50 0.42 0.50 0.50 -0.18 -0.29 0.00 -0.10 -0.15 -0.03 0.51 0.16 0.44 0.17 0.40 0.17 0.31 0.30 0.43 0.28 0.93 0.51 0.57 0.22 -0.24 -0.02 0.19

Energy Cmdty DBE 0.48 0.42 0.47 0.43 -0.21 -0.33 -0.03 -0.12 -0.17 -0.05 0.50 0.12 0.42 0.19 0.40 0.06 0.19 0.28 0.33 0.28 0.93 0.32 0.43 0.02 -0.13 -0.09 0.09

Agriculture DBA 0.25 0.19 0.26 0.30 -0.06 -0.14 0.01 -0.07 -0.08 -0.01 0.21 0.16 0.20 0.13 0.15 0.20 0.28 0.13 0.30 0.11 0.51 0.32 0.27 0.17 -0.25 0.07 0.22

Industrial Metals DBB 0.41 0.32 0.44 0.45 -0.09 -0.18 0.07 -0.04 -0.07 -0.05 0.31 0.11 0.33 0.11 0.30 0.19 0.32 0.23 0.40 0.23 0.57 0.43 0.27 0.18 -0.23 -0.08 0.22

Precious Metals DBP -0.08 -0.15 -0.03 0.06 0.29 0.32 0.28 0.24 0.26 0.23 0.07 0.15 0.01 0.00 -0.12 0.53 0.48 0.13 0.28 0.01 0.22 0.02 0.17 0.18 -0.49 0.51 0.40

Bull USD UUP 0.05 0.12 -0.03 -0.01 -0.30 -0.30 -0.30 -0.21 -0.28 -0.21 -0.03 -0.15 0.07 0.05 0.12 -0.87 -0.74 -0.12 -0.34 -0.05 -0.24 -0.13 -0.25 -0.23 -0.49 -0.61 -0.97

JPYUSD FXY -0.35 -0.39 -0.33 -0.20 0.48 0.51 0.38 0.34 0.43 0.36 -0.11 0.09 -0.19 -0.09 -0.35 0.71 0.46 0.05 0.11 0.02 -0.02 -0.09 0.07 -0.08 0.51 -0.61 0.47

EURUSD FXE -0.07 -0.13 0.00 -0.03 0.23 0.24 0.23 0.15 0.21 0.13 -0.02 0.11 -0.11 -0.09 -0.13 0.78 0.65 0.05 0.28 -0.01 0.19 0.09 0.22 0.22 0.40 -0.97 0.47 Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.

Figure 9: 26W Rolling Correlation for Global

Equities vs. Other Asset Classes (5Y)

Figure 10: 26W Rolling Correlation for US

Equities vs. Other Equities (5Y)

Figure 11: 26W Rolling Correlation for US Fixed

Income vs. Other Fixed Income segments (5Y)

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16

Global Equities - 26W Rolling Correlation

US Agg Bond IG Commodities Real EstateBull USD Gold

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1


US Equities - 26W Rolling Correlation

DM Intl EM Japan Pacific ex JP Europe

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1


US Fixed Income - 26W Rolling Correlation

US Treasury IG Corp HY Corp Sr Loans

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ), and Gold (GLD).

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK).

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN)

16 May 2016

US ETF Compass


12-Month Relative Performance Monitor1

Figure 12: Cross Asset Class Figure 13: Global Equities Figure 14: US Equity Size and Style

0.80

0.90

1.00

1.10

1.20

1.30

1.40

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Aug

-15

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan-1

6

Feb-1

6

Mar-

16

Global Equities/Fixed Income (Broad)

Global Equities/Commodities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

1.30

1.35

Apr-

15

May-1

5

Jun

-15

Jul-

15

Au

g-1

5

Sep-1

5

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb-1

6

Mar-

16

US Total Market/Intl DM

US Total Market/EM

0.90

0.95

1.00

1.05

1.10

1.15

Apr-

15

May-1

5

Jun

-15

Jul-

15

Au

g-1

5

Sep-1

5

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb-1

6

Mar-

16

S&P 500/Russell 2000 (SM Cap)

Russell 1000 Growth/Russell 1000 Value

Source: Deutsche Bank, FactSet.



Figure 15: US Equity Sectors Figure 16: Intl DM Equities Figure 17: EM Equities

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

1.60

Apr-

15

May-1

5

Ju

n-1

5

Jul-

15

Au

g-1

5

Sep-1

5

Oct-

15

No

v-1

5

Dec-1

5

Jan-1

6

Feb

-16

Mar-

16

Healthcare/EnergyTechnology/IndustrialsFinancials/Real EstateFinancials/Utilities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Aug

-15

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan-1

6

Feb-1

6

Mar-

16

Eurozone/Europe

Japan/Pacific ex JP

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Aug

-15

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan-1

6

Feb-1

6

Mar-

16

EM Asia/Latin America

China H/China A




Figure 18: Fixed Income Credit

Figure 19: Fixed Income duration

and EM debt

Figure 20: Precious Metals

0.80

0.85

0.90

0.95

1.00

1.05

Apr-

15

May-1

5

Jun

-15

Jul-

15

Aug

-15

Sep-1

5

Oct-

15

Nov-1

5

Dec-1

5

Jan-1

6

Feb-1

6

Mar-

16

HY Corporates/US Treasury

HY Corporates/IG Corporates

0.80

0.90

1.00

1.10

1.20

1.30

Ap

r-1

5

May-1

5

Ju

n-1

5

Jul-

15

Aug

-15

Sep-1

5

Oct-

15

Nov-1

5

Dec-1

5

Jan

-16

Feb-1

6

Mar-

16

UST Short/UST Long

EM Gov Debt USD/EM Gov Debt Local

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

1.60

1.70

Apr-

15

May-1

5

Ju

n-1

5

Jul-

15

Aug

-15

Sep

-15

Oct-

15

Nov-1

5

Dec-1

5

Jan-1

6

Feb

-16

Mar-

16

Gold/Silver

Gold/Platinum

Gold/Palladium




1 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in

this section. Total return data is as of the end of last month.

16 May 2016

US ETF Compass


House View Portfolio: Monthly Brief

Our House View Portfolio (HVP) was up by 0.93% in April, but underperformed

Global Equities (ACWI) and its benchmark which were up by 1.34% and 2.73%

during the same period, respectively.

Figure 21: House View Portfolio

Target Actual Direction Type

USMV 0.15% 15% 15.5% Long Core Equity US LC Min Vol

KBWB 0.35% 5% 5.5% Long Satellite Equity US Banks

XLU 0.14% 10% 9.9% Long Satellite Equity US Utilities

EFAV 0.20% 25% 25.5% Long Core Equity DM Intl

LQD 0.15% 10% 10.0% Long Core Credit Inv. Grade

IEF 0.15% 20% 18.8% Long Core Rates Intermediate UST

IAU 0.25% 10% 10.3% Long Core Comdty Gold

UUP 0.80% 5% 4.6% Long Core FX Long USD

ExposureETF TERPosition Asset

Class

Weight

Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 12-Feb-16.

Figure 22: Portfolio performance vs. Global Equities and

Benchmark since inception (10/01/2012)

Figure 23: Monthly performance of portfolio and

benchmark positions

90

100

110

120

130

140

150

Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16

No

rmaliz

ed L

evel (

100)

House View Port. ACWI Bnchmk

-4% -2% 0% 2% 4% 6% 8% 10% 12%

Fixed Income (BND)

Comdty (DBC)

Equity (ACWI)

FX Long USD (UUP)

Gold (IAU)

Intermediate UST (IEF)

Inv. Grade (LQD)

Eq. DM Intl (EFAV)

Eq. US Utilities (XLU)

Eq. US Banks (KBWB)

Eq. US LC Min Vol (USMV)

Performance

Ho

use

Vie

w P

ort

.B

nch

mk

Source: Deutsche Bank, FactSet. Benchmark is 50% Global Equities (ACWI), 30% Fixed Income (BND), and 20% Commodities (DBC) rebalanced at the end of each calendar quarter.

Source: Deutsche Bank, FactSet. Data as of last month .

Figure 24: Asset Class allocation Figure 25: Global Equity Allocation Figure 26: Regional Equity Allocation

0%

10%

20%

30%

40%

50%

60%

Equity Fixed Income Alternatives

Target Actual

0%

5%

10%

15%

20%

25%

30%

35%

US DM Intl EM

Target Actual

0%

5%

10%

15%

20%

25%

30%

35%

North America

Europe Japan Asia ex JP

Target Actual




16 May 2016

US ETF Compass


Business Intelligence

New Listings

There were twenty-six new ETFs listed during the previous month; twelve of

these were listed in the NYSE Arca, eight in the BATS; while the remaining six

funs were listed in the NASDAQ. The New products offer exposure to US

Large-cap, US equity securities selected by crowd wisdom, EM focused on

multiple factors, FX-hedged exposure to Europe and Intl DM, respectively;

Gold-hedged exposure to EM and S&P 500 Index, respectively; inverse

leveraged exposure to Financial, Energy, and Technology sector, respectively;

Dynamic FX-hedged exposure to Europe, DM ex-US, and Asia Pacific,

respectively; dividend-paying EM and International companies, thematic

exposures to Social Media Insights, Online Retail, Sustainable Global Impact,

Catholic values, EM debt, Short-term Global debt, and US Corporate debt

focused on Short-term HY, Short-term IG, HY and IG, respectively.

Figure 27: Products listed during last month

Ticker NameAsset Class &

Structure

Listing

DateTER

AUM

$MMJUNE Dhandho Junoon ETF Equity ETF 4-Apr-16 0.75% 6

JPEH JPMorgan Diversified Return Europe Currency Hedged ETF Equity ETF 4-Apr-16 0.49% 25

JPIH JPMorgan Diversified Return International Currency Hedged ETF Equity ETF 4-Apr-16 0.49% 25

GHE REX Gold Hedged FTSE Emerging Markets ETF Equity ETF 5-Apr-16 0.65% 3

GHS REX Gold Hedged S&P 500 ETF Equity ETF 5-Apr-16 0.48% 3

DVEM WisdomTree Emerging Markets Dividend Fund Equity ETF 7-Apr-16 0.32% 3

IQDG WisdomTree International Quality Dividend Growth Fund Equity ETF 7-Apr-16 0.38% 3

ERYY Direxion Daily Energy Bear 1X Shares Equity ETF 7-Apr-16 0.45% 2

FAZZ Direxion Daily Financial Bear 1X Shares Equity ETF 7-Apr-16 0.45% 2

TECZ Direxion Daily Technology Bear 1X Shares Equity ETF 7-Apr-16 0.45% 3

EMTL SPDR DoubleLine Emerging Markets Fixed Income ETF Fixed Income ETF 14-Apr-16 0.65% 38

RFAP First Trust RiverFront Dynamic Asia Pacific ETF Equity ETF 14-Apr-16 0.83% 26

RFDI First Trust RiverFront Dynamic Developed International ETF Equity ETF 14-Apr-16 0.83% 25

RFEU First Trust RiverFront Dynamic Europe ETF Equity ETF 14-Apr-16 0.83% 25

STOT SPDR DoubleLine Short Duration Total Return Tactical ETF Fixed Income ETF 14-Apr-16 0.45% 50

CATH Global X S&P 500 Catholic Values ETF Equity ETF 19-Apr-16 0.29% 2

DEMG Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF Equity ETF 19-Apr-16 0.50% 3

BUZ Sprott BUZZ Social Media Insights ETF Equity ETF 19-Apr-16 0.75% 5

OPD Guggenheim Large Cap Optimized Diversification ETF Equity ETF 19-Apr-16 0.40% 3

IBUY Amplify Online Retail ETF Equity ETF 20-Apr-16 0.65% 2

MPCT iShares Sustainable MSCI Global Impact ETF Equity ETF 22-Apr-16 0.49% 14

WIZE CrowdInvest Wisdom ETF Equity ETF 26-Apr-16 0.95% 2

SFHY WisdomTree Fundamental U.S. Short-Term High Yield Corporate Bond Fund Fixed Income ETF 27-Apr-16 0.38% 5

SFIG WisdomTree Fundamental U.S. Short-Term Corporate Bond Fund Fixed Income ETF 27-Apr-16 0.18% 5

WFHY WisdomTree Fundamental U.S. High Yield Corporate Bond Fund Fixed Income ETF 27-Apr-16 0.38% 5

WFIG WisdomTree Fundamental U.S. Corporate Bond Fund Fixed Income ETF 27-Apr-16 0.18% 5 Source: Deutsche Bank, Bloomberg Finance LP

Equity Amplify Investment made its debut in the ETF Market listing one new

thematic ETF (IBUY), which offers exposure to global companies that

obtain 70% or more of revenue from online or virtual sales. IBUY tracks the

EQM Online Retail Index and comes with an annual expense ratio of

0.65%.

16 May 2016

US ETF Compass


DirexionShares listed three new ETFs during April. The funds offer inverse

leveraged exposure to the Energy (ERYY), the Financial (FAZZ), and the

Technology (TECZ) Select Sector Indexes, respectively. They come with an

annual expense ratio of 0.45%.

First Trust launched three new actively management ETFs during last

month. The new products offer targeted exposure to Europe (RFEU),

Developed Markets ex-US (RFDI), and Asia Pacific (RFAP), respectively.

The funds use a dynamic currency hedging strategy, charge an annual

expense ratio of 0.83%, and are sub-advised by RiverFront Investment

Group.

JPMorgan listed two new ETFs during the past month, the funds offer FX

hedged exposure to Europe (JPEH) tracking the FTSE Developed Europe

Diversified Factor 100% Hedged to USD Index and International

companies (JPIH) tracking the FTSE Developed ex-North America

Diversified Factor 100% Hedged to USD Index, respectively. Both products

used a multi-factor select process which combines value, quality, and

momentum factors; and come with an annual expense ratio of 0.49%.

WisdomTree listed six ETFs during April, two of them are equity products,

which offer exposure to dividend-paying companies in EM (DVEM) and

dividend-paying companies with growth characteristics in DM ex-North

America (IQDG). DVEM tracks the Wisdomtree Emerging Markets Dividend

Index and comes with annual expense ratio of 0.32%; meanwhile, IQDG

tracks the WisdomTree International Quality Dividend Growth Index and

comes with an annual expense ratio of 0.38%.

Exchange Traded Concepts listed three new ETFs during last month. Two

of them offer Gold-hedged exposure to EM (GHE) and US Large-cap

companies included in the S&P 500 Index (GHS). GHE tracks the FTSE

Emerging Gold Overlay Index and comes with an annual expense ratio of

0.65%; while, GHS tracks the S&P 500 Dynamic Gold Hedged Index and

comes with an annual expense ratio of 0.48%. The third product (WIZE)

offers exposure to the total return performance of the CrowdInvest

Wisdom Index, which is a portfolio of US equity securities selected by user

votes on the CrowInvest mobile app. WIZE comes with an annual expense

ratio of 0.95%.

ALPS listed two new ETFs the past month. The first one (JUNE) offers

exposure to US-listed equity securities from three categories of issuers:

Share Buybacks, Spin-Offs, and Select Value Manager Holdings. JUNE

tracks the rules-based Dhandho Junoon Index, and comes with an annual

expense ratio of 0.75%. The second one (BUZ) is designed to provide

thematic exposure to the 25 most bullish US stocks based on investment

insights derived from the Social Media collective. BUZ tracks the BUZZ

Social Media Insights Index and comes with a total expense ratio of 0.75%.

BlackRock listed one new ETF (MPCT), designed to provide exposure to

Global equity securities that aims to advance the United Nation’s

Sustainable development Goals, such as education or climate change.

MPCT tracks the MSCI ACWI Sustainable Impact Index and comes with an

annual expense ratio of 0.49%.

Deutsche AWM listed one new ETF (DEMG) which tracks the FTSE

Emerging Comprehensive Factor Index, offering exposure to emerging

16 May 2016

US ETF Compass


market equities based on five factors: quality, value, momentum, low

volatility, and size. The product comes with a total expense ratio of 0.50%.

Global X listed one new ETF (CATH) which offers thematic exposure to

companies within the S&P 500 involved in activities perceived to be

consistent with Catholic values as set out by the U.S. Conference of

Catholic Bishops. CATH tracks the S&P 500 Catholic Values Index and

comes with an annual expense ratio of 0.29%.

Guggenheim Investments launched one new smart beta ETF (OPD), which

offers optimized diversification exposure to the US Large-cap equity

market. OPD tracks the Wilshire Large Cap Optimized Diversification Index

and comes with an annual expense ratio of 0.40%.

Fixed Income State Street listed two actively management ETFs during April, the funds

offer exposure to Broad Emerging Market debt (EMTL) and Global Short-

term debt (STOT), respectively. EMTL comes with an annual expense ratio

of 0.65%; meanwhile, STOT comes with an annual expense ratio of 0.45%.

Both funds are sub-advised by Jeffrey Gundlach’s DoubleLine

WisdomTree launched four fixed income ETFs during last month. The new

products track WisdomTree Fundamental Indexes, and offer exposure to

US Corporate debt focused on Short-term High Yield (SFHY), Short-term

Investment Grade (SFIG), High Yield (WFHY), and IG (WFIG), respectively.

SFHY and WFHY come with an annual expense ratio of 0.38%; while, SFIG

and WFIG with an annual expense ratio of 0.18%.

Delistings

Figure 28: Delisted products during last month

Ticker NameAsset Class &

Structure

Delisting

dateTER

AUM at

Delisting $MMDRVN Highland HFR Event-Driven ETF Alternative ETF 12-Apr-16 0.85% 2

HHFR Highland HFR Global ETF Alternative ETF 12-Apr-16 0.85% 3

HHDG Highland HFR Equity Hedge ETF Alternative ETF 12-Apr-16 0.85% 2

CHNB Global X GF China Bond ETF Fixed Income ETF 19-Apr-16 0.50% 22 Source: Deutsche Bank, Bloomberg Finance LP.

16 May 2016

US ETF Compass


Trends in products launched in the last 12 months

Figure 29: Main trends among those products launched in the last 12 months

Product

segment

Net Cash

Flows

12M $MM

AUM

Apr '16 $MM

New Funds

last 12MAsset Class Focus

Net Cash

Flows

12M $MM

AUM

Apr '16

$MM

New

Funds

last 12MTotal (All) 8,709 8,782 261 Top 5 by Geographic Focus (Equities)

By Asset Class US - US 4,060 3,890 90

Equity 7,472 7,564 219 DM - Global ex US (reg) 772 780 26

Fixed Income 975 989 23 EM - Global (reg) 693 732 13

Commodities - - - DM - North America (reg) 635 891 2

Currency - - - DM - Eurozone (Reg) 304 298 8

Multi Asset 186 185 7 Top 5 by Category (Fixed Income)Alternative 76 44 12 Broad 504 513 6

By Management Strategy Municipal 328 334 3

Beta 1,646 1,849 53 Corporates 66 67 8

Beta+ 765 575 28 EM debt 44 44 3

Smart Beta 5,761 5,818 158 Convertible 25 23 2

Active 537 540 22 Source: Deutsche Bank, Bloomberg Finance LP

Figure 30: Top 20 products by net cash flow raised in the last 12

months

Figure 31: Top 20 Issuers by inflows to

products launched in the last 12 months

Ticker Name TERNet CF

12M

$MMGEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 611

NANR SPDR S&P North American Natural Resources ETF 0.35% 609

GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 489

PTLC Pacer Trendpilot 750 ETF 0.60% 401

LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 387

ONEV SPDR Russell 1000 Low Volatility Focus ETF 0.20% 365

ONEO SPDR Russell 1000 Momentum Focus ETF 0.20% 340

ONEY SPDR Russell 1000 Yield Focus ETF 0.20% 338

VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 272

SHE SPDR SSGA Gender Diversity Index ETF 0.20% 256

FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 253

DDWM WisdomTree Dynamic Currency Hedged International Equity Fund 0.35% 242

IAGG iShares Core International Aggregate Bond ETF 0.15% 177

NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 173

DWTR PowerShares DWA Tactical Sector Rotation Portfolio 0.15% 159

OUSA O'Shares FTSE US Quality Dividend ETF 0.48% 152

PTMC Pacer Trendpilot 450 ETF 0.60% 152

IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio 0.45% 129

GSIE Goldman Sachs ActiveBeta International Equity ETF 0.35% 126

USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio 0.35% 124

Top 20 Issuers

Net Cash

Flows

12M $MM

AUM

Apr '16

$MM

New

Funds

last 12MState Street 2,138 2,440 16

Goldman Sachs 1,291 1,345 5

PowerShares 703 697 9

Pacer Advisors 662 615 6

DirexionShares 661 523 21

BlackRock 507 487 32

WisdomTree 483 490 26

Vanguard 324 332 3

First Trust 234 222 7

Etfis Capital 212 212 3

O'Shares Investments 191 199 5

IndexIQ Advisors 155 150 4

ProShares 140 95 15

John Hancock Inv. 139 141 11

JPMorgan 139 141 4

Compass EMP 99 100 6

ETC 92 90 8

Global X Funds 76 76 7

Deutsche AWM 61 59 15

Guggenheim Inv. 56 57 6 Source: Deutsche Bank, Bloomberg Finance LP

Source: Deutsche Bank, Bloomberg Finance LP

16 May 2016

US ETF Compass


Popular Product Segments: Smart Beta & Currency Hedged

Figure 32: Summary statistics for Smart Beta Equity ETFs

Smart Beta

(Equities)

Apr '16

$MM

YTD

$MM

Apr '16

$MM

MoM

Chg %

Mkt

Shr

Apr '16

$MM

MoM

Chg %

Mkt

Shr

Apr '16

All

Mkt

Shr

YTD

NewDividend 330 (2,185) 20,095 -12% 18% 126,991 1% 27% 116 21% 8

Equal 220 (3,775) 43,542 -7% 39% 30,089 4% 6% 70 12% 3

ESG 42 281 139 -64% 0% 2,201 3% 0% 18 3% 3

Fundamental 424 210 3,097 -10% 3% 18,870 5% 4% 62 11% 4

Low Risk 2,890 10,002 9,774 1% 9% 37,655 8% 8% 46 8% 1

Multi-factor (286) (2,650) 5,156 -42% 5% 30,362 3% 7% 134 24% 10

Single-factor (211) (248) 1,797 10% 2% 9,115 -2% 2% 43 8% 2

Style 300 (3,815) 26,476 -6% 24% 207,205 1% 45% 63 11% -

Other 231 161 301 444% 0% 668 52% 0% 13 2% 10

Total 3,941 (2,018) 110,377 -9% 100% 463,156 2% 100% 565 100% 41

Net Cash Flows Turnover AUM # of Funds


Figure 33: Summary statistics for Currency-Hedged Equity ETFs

Currency Hedged

(Equities)

Apr '16

$MM

YTD

$MM

Apr '16

$MM

MoM

Chg %

Mkt

Shr

Apr '16

$MM

MoM

Chg %

Mkt

Shr

Apr '16

All

Mkt

Shr

YTD

New

Multiple (636) (759) 4,428 5% 30% 22,666 -2% 47% 48 49% 8

AUD - 6 0 201% 0% 13 4% 0% 2 2% -

BRL - (0) 1 20% 0% 4 7% 0% 1 1% -

CAD - 5 0 -73% 0% 9 4% 0% 1 1% -

CHF - (2) 0 -44% 0% 2 3% 0% 1 1% -

CNY - 1 0 -10% 0% 5 -3% 0% 2 2% -

EUR (798) (3,595) 3,622 -27% 24% 14,727 -5% 30% 16 16% 2

GBP - (6) 7 -29% 0% 37 2% 0% 3 3% -

JPY (674) (3,984) 6,849 23% 46% 11,049 -7% 23% 18 19% 2

KRW - (37) 64 -66% 0% 141 -1% 0% 3 3% -

MXN - - 2 1011% 0% 7 0% 0% 2 2% -

Total (2,108) (8,370) 14,974 0% 100% 48,660 -4% 100% 97 100% 12



Figure 34: Top 10 Issuers in Equity Smart Beta Figure 35: Top 10 Issuers in Equity Currency hedged

Top 10 Issuers

(Equity Smart Beta)

AUM

Apr '16

$MM

Net Cash

Flows

12M $MM

# of Funds

Apr '16

BlackRock 185,102 19,840 65

Vanguard 100,005 9,828 22

WisdomTree 41,355 (6,747) 63

State Street 33,188 2,318 57

PowerShares 30,553 109 83

First Trust 27,922 (1,712) 70

Guggenheim Inv. 16,475 (2,270) 28

Charles Schwab 12,379 4,345 9

FlexShares 3,834 850 14

ALPS 1,960 (191) 13

Top 10 Issuers

(Equity Currency Hedged)

AUM

Apr '16

$MM

Net Cash

Flows

12M $MM

# of Funds

Apr '16

WisdomTree 23,725 (5,282) 23

Deutsche AWM 16,981 4,439 25

BlackRock 7,353 2,661 25

PowerShares 251 255 3

IndexIQ Advisors 148 153 3

First Trust 77 75 3

JPMorgan 50 51 2

FlexShares 30 29 2

State Street 20 21 3

ProShares 10 17 2 Source: Deutsche Bank, Bloomberg Finance LP


16 May 2016

US ETF Compass


Average Performance by Product Type and Size (Equity)

1 Month Comparisons

Figure 36: US Equity ETFs - 1 Month Total Returns Figure 37: US Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 0.2% 0.2% -0.8% 0.1%

Mid Cap 1.0% 1.2% 1.2%

Small Cap 1.7% 1.3% -1.4% 1.3%

Broad 0.4% 0.3% -0.9% 0.1%

All 0.7% 0.6% -0.9% 0.5%

US Equity, Broad sector,

non levered, 1M Total

Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 19 86 9 114

Mid Cap 7 29 - 36

Small Cap 11 40 2 53

Broad 10 64 10 84

All 47 219 21 287


non levered, # of funds by

Product Type

Siz

e

Source: Deutsche Bank, FactSet. Total Return corresponds to last month.


Figure 38: DM Equity ETFs - 1 Month Total Returns Figure 39: DM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 2.7% 1.8% 1.4% 2.1%

Mid Cap 2.2% 1.4% 1.7%

Small Cap 1.7% 1.5% 2.6% 1.6%

Broad 1.8% 1.7% 4.1% 1.8%

All 1.9% 1.7% 2.7% 1.8%

DM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 6 8 1 15

Mid Cap 1 2 - 3

Small Cap 8 7 1 16

Broad 27 69 1 97

All 42 86 3 131


regional, non levered, # of

funds by

Product Type

Siz

e



Figure 40: EM Equity ETFs - 1 Month Total Returns Figure 41: EM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 0.3% 2.0% 1.0%

Mid Cap

Small Cap 0.7% 1.6% 1.2%

Broad 2.6% 1.5% 2.0%

All 2.2% 1.6% 1.9%

EM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 4 3 - 7

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 29 32 - 61

All 35 37 - 72



funds by

Product Type

Siz

e



16 May 2016

US ETF Compass


1 Year Comparisons

Figure 42: US Equity ETFs - 1 Year Total Returns Figure 43: US Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 1.0% -0.1% -0.7% 0.0%

Mid Cap -1.9% -1.5% -1.6%

Small Cap -4.2% -3.5% -6.5% -3.8%

Broad -1.6% 0.5% -6.1% -0.5%

All -1.4% -0.8% -3.6% -1.2%

Product Type

Siz

e


non levered, 1Y Total

Return by

BetaSmart

BetaActive All

Large Cap 15 67 9 91

Mid Cap 7 27 - 34

Small Cap 11 37 2 50

Broad 10 53 8 71

All 43 184 19 246


non levered, # of funds by

Product Type

Siz

e



Figure 44: DM Equity ETFs - 1 Year Total Returns Figure 45: DM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -10.9% -12.6% -6.1% -10.9%

Mid Cap -5.3% -5.2% -5.2%

Small Cap -2.6% -2.3% 0.8% -2.2%

Broad -8.9% -7.4% -8.0%

All -8.2% -7.0% -2.7% -7.4%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 5 3 1 9

Mid Cap 1 2 - 3

Small Cap 5 6 1 12

Broad 22 39 - 61

All 33 50 2 85



funds by

Product Type

Siz

e



Figure 46: EM Equity ETFs - 1 Year Total Returns Figure 47: EM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -17.9% -10.5% -15.5%

Mid Cap

Small Cap -15.9% -16.2% -16.0%

Broad -16.1% -17.6% -16.8%

All -16.3% -17.0% -16.6%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 4 2 - 6

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 28 23 - 51

All 34 27 - 61



funds by

Product Type

Siz

e



16 May 2016

US ETF Compass


Total Expense Ratio X-ray

Figure 48: Average TER analysis by asset class and product type

TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All

Equity 0.46% 0.92% 0.48% 0.86% 0.54% 0.21% 0.94% 0.29% 0.90% 0.24%

Fixed Income 0.27% 0.88% 0.29% 0.56% 0.37% 0.21% 0.94% 0.30% 0.51% 0.23%

Commodity 0.81% 0.95% 0.80% 0.76% 0.83% 0.41% 0.95% 0.82% 0.67% 0.46%

Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.57% 0.95% 0.75% 0.48% 0.64%

Multi Asset 0.53% 0.63% 0.90% 0.72% 0.46% 0.62% 0.87% 0.55%

Alternative 2.49% 0.95% 0.78% 1.01% 1.14% 2.43% 0.95% 0.72% 0.96% 1.10%

All 0.45% 0.92% 0.48% 0.74% 0.54% 0.22% 0.94% 0.29% 0.58% 0.25%

Simple Average AUM-Weighted Average

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month

Figure 49: Selected TER averages for the top 15 Issuers by AUM

BetaSmart

BetaBeta Active Beta

Smart

BetaBeta Active

BlackRock 864,490 0.46% 0.30% 0.23% 0.32% 0.37% 0.31% 0.23% 0.22% 0.25% 0.27%

Vanguard 515,539 0.12% 0.16% 0.12% 0.13% 0.10% 0.10% 0.10% 0.10%

State Street 435,629 0.34% 0.30% 0.28% 0.51% 0.33% 0.14% 0.33% 0.30% 0.58% 0.19%

PowerShares 93,498 0.42% 0.51% 0.42% 0.51% 0.23% 0.45% 0.52% 0.39%

Charles Schwab 44,417 0.09% 0.27% 0.08% 0.16% 0.07% 0.16% 0.07% 0.00% 0.10%

WisdomTree 43,174 0.46% 0.49% 0.33% 0.54% 0.49% 0.43% 0.51% 0.55% 0.52%

First Trust 37,394 0.61% 0.69% 0.79% 0.71% 0.59% 0.62% 0.00% 0.65%

Guggenheim Inv. 27,543 0.63% 0.50% 0.39% 0.47% 0.55% 0.42% 0.28% 0.40%

ProShares 26,892 0.29% 0.47% 0.51% 0.50% 0.88% 0.36% 0.36% 0.48% 0.50% 0.88%

Van Eck Funds 24,176 0.63% 0.53% 0.35% 0.71% 0.53% 0.49% 0.35% 0.51%

Deutsche AWM 17,506 0.54% 0.44% 0.30% 0.50% 0.40% 0.42% 0.30% 0.40%

PIMCO 11,352 0.27% 0.51% 0.39% 0.38% 0.43% 0.41%

ALPS 10,703 0.63% 0.62% 0.22% 0.62% 0.84% 0.48% 0.22% 0.76%

DirexionShares 9,926 0.60% 0.85% 0.63% 0.94%

FlexShares 8,884 0.48% 0.46% 0.20% 0.25% 0.39% 0.48% 0.40% 0.20% 0.25% 0.36%

Equity Fixed IncomeAll

Simple Average AUM-Weighted Average

AllEquity Fixed IncomeAUM Apr

'16 $MMTop 15 Issuers


16 May 2016

US ETF Compass


ETF Statistics

Global ETF Assets and Provider Ranking

Figure 50: Historical Growth of Global ETP Assets*

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16*

Asia Pacific ($) 49 62 53 67 84 91 136 169 202 280 293

Europe ($) 91 132 145 244 309 297 368 416 459 507 535

US ($) 427 612 535 783 997 1,046 1,333 1,678 1,979 2,113 2,200

US, Europe & Asia Pacific ($) 567 804 733 1,094 1,390 1,435 1,838 2,262 2,640 2,901 3,028

Europe (€) 69 90 104 170 231 229 279 302 379 467 467

Number of ETPs** 737 1,213 1,666 2,041 2,580 3,124 3,492 3,711 4,019 4,425 4,498

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000

0

500

1,000

1,500

2,000

2,500

3,000

3,500

Nu

mb

er o

f E

TP

s

AU

M $

billio

n

Source: Deutsche Bank, Bloomberg Finance LP. *These figures don’t include the ETF markets in the Americas ex US and in the Middle East and Africa regions. Data as of the end of last month.

Figure 51: Top 10 Global ETP Provider Ranking and Summary Statistics

Rank IssuerCurrent

AUM

Mkt.

Share2015 AUM

2015 Mkt.

ShareNu.

Current

Month CF

Current

Month TOYTD CF

1 BlackRock 1,121,755 37.0% 1,071,580 36.9% 642 6,515 429,493 29,5102 Vanguard 538,094 17.8% 504,808 17.4% 110 6,154 73,257 22,6433 State Street 466,437 15.4% 443,216 15.3% 269 498 643,917 9,2794 PowerShares 95,384 3.1% 99,777 3.4% 156 -954 73,923 -2,8825 Deutsche AWM 81,337 2.7% 83,073 2.9% 272 -785 10,928 -1,7916 Nomura Asset Management 67,057 2.2% 63,783 2.2% 49 -3,129 46,830 4,1127 Lyxor 51,977 1.7% 51,862 1.8% 229 -336 12,364 -4288 Charles Schwab 44,417 1.5% 39,712 1.4% 21 1,121 5,460 3,7229 WisdomTree 43,689 1.4% 52,385 1.8% 121 -1,324 12,614 -6,41010 First Trust 37,537 1.2% 42,877 1.5% 110 -48 6,974 -4,985

Total Top 10 2,547,685 84.1% 2,453,074 84.5% 1,979 7,712 1,315,759 52,770Others 480,493 15.9% 450,861 15.5% 2,519 273 379,038 19,441Global Total 3,028,178 100.0% 2,903,935 100.0% 4,498 7,986 1,694,796 72,211

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.

16 May 2016

US ETF Compass


US Historical ETF trends

Figure 52: Annual ETP historical growth in AUM and # of

funds

Figure 53: Monthly ETF Volume $ growth vs. VIX and

ETF Volume

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200

2,400

Nu

mber o

f E

TPs

AU

M $

billio

n

Others

Fixed Income

Equity

# Funds

0%

10%

20%

30%

40%

50%

60%

70%

-

500

1,000

1,500

2,000

2,500

3,000

3,500

Jan

-05

Au

g-0

5

Mar-

06

Oct-

06

May-0

7

Dec-0

7

Jul-

08

Feb

-09

Sep-0

9

Apr-

10

Nov-1

0

Jun

-11

Jan

-12

Au

g-1

2

Mar-

13

Oct-

13

May-1

4

Dec-1

4

Jul-

15

Feb

-16

ET

F tra

din

g a

s %

of

all U

S C

ash E

quity

tradin

g a

nd V

IX L

evel (

end o

f m

onth

)

Mo

nth

ly E

TF T

urn

over $

billion

ETF Turnover ETF % Cash Eqty VIX

Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about 2% of ETP assets and track mostly non-Equity and non-Fixed Income exposures. *YTD data as of the end of last month.

Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month.

Figure 54: Net Cash Flows and AUM historical

comparison between Mutual Funds and ETFs*

Figure 55: Net Cash Flows and AUM historical

comparison between Active and Passive mgmt style*

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

ET

F A

UM

as %

of

Mutu

al F

und A

UM

Ne

t C

ash

Flo

ws

$m

illio

n

MF CF ETF CF ETF/MF % AUM

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

-400,000

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

Passi

ve A

UM

as %

of A

cti

ve A

UM

Net C

ash

Flo

ws

$m

illio

n

Active MF+ETF Passive MF+ETF

Passive / Active %

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of March 2016. Mutual Funds only include Long Term Mutual Funds.

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of March 2016. Mutual Funds only include Long Term Mutual Funds.

16 May 2016

US ETF Compass


ETF Issuer and Index Provider league tables

Figure 56: ETP Issuer league table (excludes ETN assets)

Top 50 Issuers TotalMkt

ShrEquity

Fixed

IncomeCmdty Other

Apr '16

$MM

YTD

$MMApr '16

$MM

Mkt

ShrApr '16

YTD

New

BlackRock 864,490 39.3% 634,515 212,951 14,933 2,091 3,593 20,164 394,988 28.0% 327 4

Vanguard 515,539 23.4% 421,676 93,863 - - 6,344 22,089 70,769 5.0% 70 2

State Street 435,629 19.8% 360,527 41,514 33,229 360 449 8,098 638,041 45.2% 161 4

PowerShares 93,498 4.2% 70,507 16,829 4,301 1,861 (920) (2,868) 73,677 5.2% 140 1

Charles Schwab 44,417 2.0% 39,120 5,298 - - 1,121 3,722 5,460 0.4% 21 0

WisdomTree 43,174 2.0% 41,555 695 227 696 (1,331) (6,465) 12,565 0.9% 99 11

First Trust 37,394 1.7% 33,484 2,625 287 999 (57) (4,996) 6,957 0.5% 101 4

Guggenheim Inv. 27,543 1.3% 18,608 7,442 - 1,493 227 (1,099) 5,687 0.4% 75 2

ProShares 26,892 1.2% 18,626 3,555 1,800 2,912 1,184 3,444 69,821 4.9% 151 2

Van Eck Funds 24,176 1.1% 17,600 6,382 109 85 (285) (431) 58,613 4.2% 58 1

Deutsche AWM 17,506 0.8% 17,454 52 - - (581) (1,281) 4,153 0.3% 36 1

PIMCO 11,352 0.5% - 11,352 - - (72) 222 2,054 0.1% 14 0

ALPS 10,703 0.5% 10,330 326 - 46 (18) 221 3,064 0.2% 19 2

DirexionShares 9,926 0.5% 9,417 509 - - (204) 137 51,375 3.6% 78 3

FlexShares 8,884 0.4% 6,368 2,516 - - 281 713 902 0.1% 22 0

US Commodity Funds 5,128 0.2% 4 - 5,124 - (482) 367 9,440 0.7% 12 0

Fidelity Investments 3,945 0.2% 3,492 452 - - 310 174 1,055 0.1% 15 0

Global X Funds 3,252 0.1% 3,013 206 - 32 55 (72) 714 0.1% 47 1

ETF Securities 2,259 0.1% 11 - 2,247 - 33 110 278 0.0% 9 0

ETC 1,962 0.1% 1,412 420 - 130 13 72 131 0.0% 20 3

IndexIQ Advisors 1,601 0.1% 325 - - 1,276 75 20 253 0.0% 17 0

Millington Securities 1,356 0.1% 709 - - 647 (9) (87) 138 0.0% 10 0

Goldman Sachs 1,345 0.1% 1,345 - - - 111 430 187 0.0% 5 2

AdvisorShares Trust 1,137 0.1% 479 552 39 67 23 54 255 0.0% 21 0

OppenheimerFunds 943 0.0% 943 - - - 15 (83) 89 0.0% 8 0

EGShares 892 0.0% 892 - - - 10 (57) 94 0.0% 9 0

ETFMG 778 0.0% 778 - - - (7) (163) 141 0.0% 10 2

Pacer Advisors 615 0.0% 615 - - - 35 114 113 0.0% 6 1

JPMorgan 489 0.0% 489 - - - 147 253 118 0.0% 7 2

Compass EMP 457 0.0% 457 - - - 40 81 75 0.0% 11 1

Etfis Capital 367 0.0% 163 176 - 28 5 32 51 0.0% 7 0

Highland Capital 305 0.0% - 305 - - 7 4 28 0.0% 1 0

Cambria Funds 288 0.0% 238 4 - 46 (3) (25) 27 0.0% 7 1

KraneShares 243 0.0% 227 15 - - 38 24 50 0.0% 5 0

O'Shares Investments 199 0.0% 199 - - - 45 144 104 0.0% 5 0

Franklin Templeton 193 0.0% - 193 - - - 5 3 0.0% 1 0

John Hancock Inv. 141 0.0% 141 - - - 6 33 12 0.0% 11 5

ArrowShares 114 0.0% 5 - - 109 3 (11) 15 0.0% 3 0

Teucrium Trading 108 0.0% - - 108 - 4 4 38 0.0% 5 0

Empowered Funds 106 0.0% 106 - - - 19 21 30 0.0% 4 0

Lattice Strategies 82 0.0% 82 - - - - 6 1 0.0% 4 0

Recon Capital 57 0.0% 57 - - - 4 12 10 0.0% 2 0

U.S. Global Investors 56 0.0% 56 - - - 1 6 15 0.0% 1 0

Reality Shares 44 0.0% 39 - - 5 (1) 5 15 0.0% 4 3

ARK Inv. Mgmt 41 0.0% 41 - - - 1 1 3 0.0% 4 0

QuantShares 41 0.0% - - - 41 (29) 17 43 0.0% 5 0

Innovator Mgmt 39 0.0% 39 - - - (3) (18) 5 0.0% 1 0

Principal Financial Group 32 0.0% - - - 32 2 0 1 0.0% 1 0

Calamos Investments 26 0.0% 26 - - - - - 0 0.0% 1 0

AlphaMark Advisors 24 0.0% 24 - - - - (7) 1 0.0% 1 0

Other 216 0.0% 184 31 - 1 7 17 44 0.0% 29 5

Total 2,200,004 100% 1,716,379 408,264 62,404 12,957 10,207 43,154 1,411,705 100% 1,681 63

Net Cash FlowsAssets Under Management Apr '16 $MM # of FundsTurnover


16 May 2016

US ETF Compass


Figure 57: Index Provider league table (excludes ETN assets)

Turnover

Top 20 Index Providers TotalMkt

ShrEquity

Fixed

IncomeCmdty Other

Apr '16

$MM

YTD

$MMApr '16

$MM

Mkt

ShrApr '16

YTD

New

S&P Dow Jones 747,254 34.0% 711,070 30,264 2,106 3,814 6,715 5,268 735,718 52.1% 387 6

MSCI 327,656 14.9% 327,656 - - - 1,804 8,115 161,186 11.4% 225 5

FTSE Russell 307,575 14.0% 306,690 844 - 41 2,293 (1,420) 138,397 9.8% 142 5

Barclays 274,536 12.5% - 274,536 - - 1,167 24,279 75,725 5.4% 112 -

CRSP 154,992 7.0% 154,992 - - - 607 3,342 12,244 0.9% 13 -

Nasdaq OMX 76,462 3.5% 75,440 215 - 807 (1,434) (4,027) 94,341 6.7% 50 3

Commodity - Physical 54,391 2.5% - - 54,391 - (927) 8,380 42,153 3.0% 20 -

Markit iBoxx 49,814 2.3% - 49,814 - - 606 4,989 28,742 2.0% 15 -

WisdomTree 41,602 1.9% 41,555 24 - 23 (1,208) (6,382) 12,134 0.9% 76 10

NYSE Euronext 25,178 1.1% 24,628 506 - 44 (420) (3,466) 56,281 4.0% 39 -

Active 24,322 1.1% 3,186 18,665 887 1,583 212 1,939 5,124 0.4% 135 8

Morningstar 15,636 0.7% 15,281 108 - 247 482 1,159 2,092 0.1% 26 -

BofA Merrill Lynch 10,918 0.5% 136 10,740 - 41 (2) 1,196 2,034 0.1% 24 -

Market Vectors 9,766 0.4% 9,582 99 - 85 260 (293) 23,499 1.7% 35 -

Alerian 8,163 0.4% 8,163 - - - (5) 322 2,578 0.2% 2 -

Deutsche Bank 8,128 0.4% - 3,218 4,036 874 298 271 2,790 0.2% 15 -

J.P. Morgan 7,787 0.4% - 7,765 - 22 490 1,562 3,399 0.2% 4 -

Dorsey Wright 7,442 0.3% 7,362 - - 80 (411) (1,974) 1,451 0.1% 19 2

Accretive AM 6,817 0.3% - 6,817 - - 105 648 950 0.1% 18 - Other 41,565 1.9% 30,638 4,649 984 5,294 (455) (1,164) 10,868 44.4% 324 24

Total 2,200,004 100% 1,716,379 408,264 62,404 12,957 10,178 42,744 1,411,705 100% 1,681 63

Assets Under Management Apr '16 $MM Net Cash Flows # of Funds


16 May 2016

US ETF Compass


Monthly Snapshot

Figure 58: ETP Summary Statistics by Asset Class

Asset ClassApr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Equity 6,765 (2,670) 1,213,662 -12% 86% 1,716,379 2% 78% 1,239 74% 49

Fixed Income 4,052 36,776 123,113 -15% 9% 408,264 2% 19% 289 17% 8

Commodities (784) 9,215 48,955 -12% 3% 62,404 5% 3% 52 3% -

Currency (389) (785) 3,028 -11% 0% 2,987 -12% 0% 25 1% -

Multi Asset 196 (548) 601 -9% 0% 5,542 5% 0% 37 2% 2

Alternative 338 757 22,364 0% 2% 4,428 5% 0% 39 2% 4

Total 10,178 42,744 1,411,723 -12% 100% 2,200,004 2% 100% 1,681 100% 63

AUMTurnover Net Cash Flows # of Funds


Figure 59: ETP Summary Statistics by Management Style (Active-Passive)

Passive-->ActiveApr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Beta 5,054 38,649 1,173,371 -13% 83% 1,661,578 2% 76% 678 40% 2

Beta+ 600 2,897 119,726 -9% 8% 33,744 5% 2% 198 12% 3

Smart Beta 4,337 (456) 113,569 -9% 8% 480,205 2% 22% 665 40% 50

Active 187 1,654 5,056 -19% 0% 24,476 2% 1% 140 8% 8

Total 10,178 42,744 1,411,723 -12% 100% 2,200,004 2% 100% 1,681 100% 63

Turnover AUMNet Cash Flows # of Funds


Figure 60: ETP Summary Statistics by Product Type

Product TypeApr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Asset Allocation 7,948 10,595 139,993 -9% 10% 728,930 2% 33% 1,378 82% 60

Cash Management 5,180 25,178 205,998 -11% 15% 874,015 2% 40% 64 4% -

Pseudo Futures (3,550) 4,074 946,006 -14% 67% 563,314 1% 26% 41 2% -

Leveraged & Inverse 600 2,897 119,726 -9% 8% 33,744 5% 2% 198 12% 3

Total 10,178 42,744 1,411,723 -12% 100% 2,200,004 2% 100% 1,681 100% 63

Turnover AUMNet Cash Flows # of Funds


16 May 2016

US ETF Compass


Equity Breakdowns

Figure 61: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities

Geographic Focus

(Equities)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Global Markets Equities

Global (reg) (452) (1,512) 68,517 -7% 6% 39,711 10% 2% 117 9% 2

Global ex US (reg) 502 (185) 4,036 -12% 0% 30,665 4% 2% 32 3% 2

Asia Pacific (reg) (0) (1) 0 -84% 0% 21 0% 0% 1 0% -

Asia Pacific ex JP (reg) (3) (289) 990 13% 0% 2,767 -1% 0% 7 1% -

Total GME 47 (1,987) 73,544 -7% 6% 73,164 7% 4% 157 13% 4

Developed Market Equities

Global (reg) 99 (60) 1,311 -18% 0% 10,720 2% 1% 26 2% 3

Global ex US (reg) 1,718 7,078 40,331 -8% 3% 163,242 4% 10% 92 7% 6

Global ex JP (reg) - (19) 2 -71% 0% 274 1% 0% 1 0% -

Europe & Middle East

Europe (reg) 25 (917) 5,840 -14% 0% 23,842 3% 1% 33 3% 3

Denmark 34 19 66 -25% 0% 106 50% 0% 1 0% -

Norway 2 40 17 -79% 0% 130 9% 0% 2 0% -

Sweden 2 (45) 131 30% 0% 327 3% 0% 1 0% -

Switzerland (32) (39) 626 19% 0% 1,333 0% 0% 3 0% -

UK (95) (381) 1,126 4% 0% 2,249 -1% 0% 7 1% -

Eurozone (Reg) (1,739) (6,254) 10,618 -20% 1% 31,082 -4% 2% 16 1% 2

Austria 16 26 24 -50% 0% 86 27% 0% 1 0% -

Belgium 18 (81) 74 -69% 0% 146 16% 0% 1 0% -

Finland (2) (2) 6 -61% 0% 23 -7% 0% 1 0% -

France (30) (11) 514 -19% 0% 381 -6% 0% 1 0% -

Germany (542) (1,833) 3,114 -16% 0% 5,818 -8% 0% 8 1% -

Ireland (4) (6) 44 28% 0% 162 -3% 0% 1 0% -

Israel 7 24 38 -36% 0% 175 6% 0% 3 0% -

Italy (31) (183) 522 11% 0% 840 -1% 0% 3 0% -

Netherlands 23 53 127 11% 0% 224 12% 0% 1 0% -

Portugal - (1) 2 13% 0% 26 -1% 0% 1 0% -

Spain (77) (374) 753 -2% 0% 1,000 -3% 0% 4 0% -

North America

North America (reg) 34 29 163 -39% 0% 2,020 12% 0% 4 0% -

Canada 108 757 1,218 -21% 0% 2,961 11% 0% 6 0% -

US 7,211 3,516 936,705 -13% 77% 1,234,870 1% 72% 619 50% 22

Asia Pacific

Pacific (reg) 103 (115) 729 -15% 0% 3,586 4% 0% 6 0% 1

Japan (2,214) (6,817) 19,114 31% 2% 28,571 -5% 2% 34 3% 3

Pacific ex JP (reg) 57 42 453 8% 0% 2,099 5% 0% 4 0% -

Australia 88 296 1,363 -17% 0% 1,719 9% 0% 7 1% -

Hong Kong (11) (656) 1,104 -5% 0% 1,846 0% 0% 2 0% -

New Zealand 14 21 58 12% 0% 103 19% 0% 1 0% -

Singapore 53 29 390 18% 0% 592 10% 0% 1 0% - Total DME 4,836 (5,864) 1,026,582 -13% 85% 1,520,548 1% 89% 891 72% 40

Total Equities 6,765 (2,670) 1,213,662 -12% 100% 1,716,379 2% 100% 1,239 100% 49



16 May 2016

US ETF Compass


Figure 62: ETP Summary Statistics by Geographic Focus – Emerging Market Equities

Geographic Focus

(Equities)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Emerging Market Equities

Global (reg) 1,840 4,633 63,403 -12% 5% 86,317 3% 5% 65 5% 4

BRIC (reg) (4) (24) 27 69% 0% 323 1% 0% 3 0% -

Asia

Asia (reg) (1) (91) 61 -58% 0% 642 -1% 0% 4 0% -

China (385) (790) 16,139 -14% 1% 8,123 -5% 0% 26 2% -

China A (11) (30) 1,129 -18% 0% 728 -4% 0% 11 1% -

India 71 (57) 3,066 -16% 0% 6,594 2% 0% 10 1% -

Indonesia 22 253 350 -28% 0% 653 3% 0% 3 0% -

Malaysia 40 120 462 6% 0% 356 9% 0% 1 0% -

Philippines (16) 18 206 -16% 0% 282 -8% 0% 1 0% -

South Korea - 218 3,284 10% 0% 3,806 0% 0% 8 1% -

Taiwan - (349) 2,245 5% 0% 2,425 -5% 0% 3 0% -

Thailand 21 111 303 -9% 0% 365 7% 0% 1 0% -

Europe

Europe (reg) 16 14 43 602% 0% 57 46% 0% 1 0% -

Poland (4) 33 117 -4% 0% 215 -9% 0% 2 0% -

Russia (59) (14) 5,207 -13% 0% 2,680 6% 0% 6 0% -

Turkey 46 60 341 8% 0% 439 17% 0% 1 0% -

Greece (4) (3) 62 17% 0% 246 2% 0% 1 0% -

Middle East & Africa

ME & Africa (reg) - (5) 2 81% 0% 29 4% 0% 1 0% -

Middle East (reg) - (5) 1 2% 0% 28 2% 0% 2 0% -

Africa (reg) - 7 24 4% 0% 78 12% 0% 1 0% -

Egypt 4 4 19 188% 0% 30 16% 0% 1 0% -

South Africa 11 130 674 -19% 0% 484 7% 0% 1 0% -

Qatar - 5 6 434% 0% 49 -2% 0% 1 0% -

UAE (6) 3 3 -53% 0% 32 -13% 0% 1 0% -

Latin America

Latin America (reg) 61 80 582 7% 0% 851 17% 0% 7 1% -

Brazil 216 641 12,952 -26% 1% 3,673 17% 0% 10 1% -

Chile 11 119 253 -28% 0% 357 6% 0% 1 0% -

Colombia (5) 9 37 -24% 0% 106 4% 0% 2 0% -

Mexico (26) 156 2,052 -34% 0% 1,544 -2% 0% 6 0% -

Peru 24 55 185 80% 0% 226 34% 0% 1 0% -

Frontier Markets

Frontier (reg) - (135) 191 -19% 0% 485 3% 0% 3 0% -

Argentina 16 39 31 6% 0% 70 41% 0% 1 0% -

Nigeria 0 4 8 -40% 0% 21 4% 0% 1 0% -

Pakistan - - 1 377% 0% 6 5% 0% 1 0% -

Saudi Arabia - - 2 4216% 0% 5 11% 0% 1 0% -

Vietnam - (28) 65 10% 0% 340 3% 0% 1 0% - Total EME 1,879 5,179 113,535 -14% 9% 122,664 3% 7% 190 15% 4

Total Equities 6,765 (2,670) 1,213,662 -12% 100% 1,716,379 2% 100% 1,239 100% 49



16 May 2016

US ETF Compass


Figure 63: ETP Summary Statistics by Size and Market – Equities

Market Cap Segment

(Equities)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

US Equities

Large Cap 1,673 208 692,318 -13% 57% 633,450 1% 37% 179 14% 9

Mid Cap 595 (922) 17,599 -10% 1% 108,981 2% 6% 43 3% -

Small Cap 1,224 (188) 85,260 -21% 7% 101,078 3% 6% 76 6% 1

Broad 3,719 4,417 141,529 -8% 12% 391,361 2% 23% 321 26% 12

Total US Equities 7,211 3,516 936,705 -13% 77% 1,234,870 1% 72% 619 50% 22

DM Intl Equities

Large Cap (43) (629) 2,175 -19% 0% 6,973 1% 0% 23 2% 3

Mid Cap 3 14 28 -3% 0% 368 4% 0% 3 0% -

Small Cap 46 110 1,062 -31% 0% 10,895 3% 1% 24 2% 1

Broad (2,381) (8,875) 86,611 -4% 7% 267,442 1% 16% 222 18% 14

Total DM Intl Equities (2,375) (9,380) 89,877 -5% 7% 285,679 2% 17% 272 22% 18

EM Equities

Large Cap (322) (599) 15,422 -14% 1% 6,180 -5% 0% 16 1% 1

Mid Cap - - 0 -42% 0% 4 9% 0% 1 0% -

Small Cap 34 (31) 324 -10% 0% 1,964 5% 0% 14 1% -

Broad 2,169 5,810 97,789 -14% 8% 114,518 3% 7% 160 13% 4 Total EM Equities 1,881 5,181 113,535 -14% 9% 122,667 3% 7% 191 15% 5

Total Equities 6,765 (2,670) 1,213,662 -12% 100% 1,716,379 2% 100% 1,239 100% 49



Figure 64: ETP Summary Statistics by Style and Market – Equities

Style

(Equities)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

US Equities

Growth (458) (5,275) 11,719 -14% 1% 105,928 -1% 6% 39 3% 2

Value 782 1,491 14,838 2% 1% 99,921 3% 6% 41 3% -

Dividend 2,185 5,602 10,342 -17% 1% 91,316 3% 5% 47 4% 2

Blend 4,703 1,699 899,806 -13% 74% 937,705 1% 55% 492 40% 18


DM Intl Equities

Growth - (122) 211 6% 0% 2,371 2% 0% 1 0% -

Value 18 (47) 171 -49% 0% 2,743 5% 0% 1 0% -

Dividend (1,309) (6,598) 10,117 -4% 1% 33,118 -3% 2% 45 4% 5

Blend (1,083) (2,613) 79,377 -5% 7% 247,447 2% 14% 225 18% 13

Total DM Intl Equities (2,375) (9,380) 89,877 -5% 7% 285,679 2% 17% 272 22% 18

EM Equities

Dividend (9) (107) 301 -43% 0% 2,814 2% 0% 12 1% 1

Blend 1,890 5,288 113,234 -14% 9% 119,853 3% 7% 179 14% 4 Total EM Equities 1,881 5,181 113,535 -14% 9% 122,667 3% 7% 191 15% 5

Total Equities 6,765 (2,670) 1,213,662 -12% 100% 1,716,379 2% 100% 1,239 100% 49



16 May 2016

US ETF Compass


Figure 65: ETP Summary Statistics by Sectors – US Equities

Sector

(US Equities)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Consumer Discretionary (859) (3,209) 18,609 -9% 2% 19,478 -5% 2% 24 4% 1

Consumer Staples (779) 1,086 15,486 3% 2% 17,553 -5% 1% 14 2% 1

Energy 664 2,486 52,527 -18% 6% 35,529 13% 3% 34 5% 2

Financials (284) (4,789) 32,801 -16% 4% 32,495 3% 3% 38 6% 1

Healthcare 655 (4,947) 50,327 8% 5% 37,926 5% 3% 36 6% -

Industrials 441 452 16,041 9% 2% 12,308 5% 1% 16 3% 1

Materials 700 1,020 10,146 -4% 1% 5,682 22% 0% 13 2% 1

Real Estate 645 2,012 20,168 -3% 2% 44,919 -1% 4% 20 3% -

Technology 411 (2,980) 16,386 -5% 2% 33,139 -3% 3% 33 5% 1

Telecom 147 519 546 -20% 0% 2,270 7% 0% 5 1% -

Utilities 182 4,293 18,732 -10% 2% 13,991 -1% 1% 10 2% 1

Theme (1,101) (1,721) 1,402 -32% 0% 7,555 1% 1% 43 7% 6

Overall 6,389 9,295 683,534 -15% 73% 972,024 1% 79% 333 54% 7




Commodity Breakdowns

Figure 66: ETP Summary Statistics by Sectors and Sub Sectors– Commodity

Sector

(Commodities)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

Mkt

Shr

YTD

New

Diversified Broad 59 312 1,368 15% 3% 4,674 10% 7% 10 19% -

Agriculture 70 67 255 -3% 1% 859 12% 1% 7 13% -

Energy (515) 693 14,391 -14% 29% 6,362 6% 10% 15 29% -

Crude Oil (529) 585 12,770 -9% 26% 5,564 5% 9% 7 13% -

Natural Gas 14 106 1,560 -40% 3% 619 9% 1% 4 8% -

Industrial Metals 7 (8) 27 12% 0% 119 14% 0% 2 4% -

Precious Metals (405) 8,150 32,914 -12% 67% 50,389 5% 81% 18 35% -

Gold (505) 7,767 28,634 -15% 58% 42,553 3% 68% 9 17% -

Silver 68 324 4,118 22% 8% 6,746 18% 11% 5 10% -

Platinum 10 39 93 9% 0% 528 11% 1% 1 2% -

Palladium 0 (10) 32 -32% 0% 196 10% 0% 1 2% -

Total Commodities (784) 9,215 48,955 -12% 100% 62,404 5% 100% 52 100% -



16 May 2016

US ETF Compass


Fixed Income Breakdowns

Figure 67: ETP Summary Statistics by Category – Fixed Income

Categories

(Fixed Income)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Broad 2,675 11,178 19,308 1% 16% 120,791 2% 30% 45 16% 2

Convertible 17 (291) 416 -45% 0% 2,227 1% 1% 3 1% -

Corporates 1,571 11,834 47,919 -19% 39% 127,882 3% 31% 91 31% 4

EM debt 875 1,700 4,750 -16% 4% 13,033 9% 3% 23 8% 2

Inflation 1,174 3,018 3,850 -10% 3% 26,559 5% 7% 17 6% -

International (58) 228 1,217 39% 1% 3,459 0% 1% 13 4% -

Municipal 210 2,046 3,408 5% 3% 21,447 1% 5% 36 12% -

Preferred 775 1,936 4,159 33% 3% 23,180 4% 6% 9 3% -

Securitized 510 1,077 2,274 60% 2% 11,644 5% 3% 9 3% -

Senior Loans (70) (96) 1,602 0% 1% 5,504 0% 1% 4 1% -

US Treasury (3,628) 4,146 34,209 -24% 28% 52,537 -7% 13% 39 13% -

Total Fixed Income 4,052 36,776 123,113 -15% 100% 408,264 2% 100% 289 100% 8



Figure 68: ETP Summary Statistics by Credit Quality – Fixed Income

Credit Quality

(Fixed Income)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Investment Grade 3,047 27,851 81,030 -13% 66% 317,124 1% 78% 196 68% 3

High Yield (704) 4,765 32,195 -22% 26% 49,327 1% 12% 48 17% 3

Mixed 1,709 4,159 9,887 2% 8% 41,813 5% 10% 45 16% 2




Figure 69: ETP Summary Statistics by Duration – Fixed Income

Duration

(Fixed Income)

Apr '16

$MM

YTD

$MMApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

$MM

MoM

Chg %

Mkt

ShrApr '16

All

Mkt

Shr

YTD

New

Short (2,188) 1,618 19,189 -23% 16% 97,711 -2% 24% 73 25% 3

Intermediate (508) 9,852 39,721 -21% 32% 84,475 1% 21% 40 14% -

Long (396) 3,833 23,438 -15% 19% 22,398 -2% 5% 29 10% -

Broad 6,879 20,390 39,501 -2% 32% 194,800 4% 48% 106 37% 5

Set Maturity 264 1,083 1,264 -5% 1% 8,881 4% 2% 41 14% -




16 May 2016

US ETF Compass


Top 15 ETFs (includes ETNs)

Figure 70: Top 15 by 1M Total Return Gain (non-levered) Figure 71: Top 15 by 1M Total Return Loss (non-levered)

Ticker Name TERTotal

Return

GLDX Global X Gold Explorers ETF 0.65% 60.4%

SILJ PureFunds ISE Junior Silver ETF 0.69% 56.8%

GRN iPath Global Carbon ETN 0.75% 43.1%

SLVP iShares MSCI Global Silver Miners ETF 0.39% 40.1%

SIL Global X Silver Miners ETF 0.65% 38.4%

GDXJ Market Vectors Junior Gold Miners ETF 0.54% 38.3%

SGDJ Sprott Junior Gold Miners ETF 0.57% 33.0%

RING iShares MSCI Global Gold Miners ETF 0.39% 30.4%

GDX Market Vectors Gold Miners ETF 0.52% 29.3%

SGDM Sprott Gold Miners ETF 0.57% 28.5%

PSAU PowerShares Global Gold and Precious Metals

Portfolio

0.75% 26.5%

MLPY Morgan Stanley Cushing MLP High Income Index

ETN

0.85% 23.1%

COPX Global X Copper Miners ETF 0.65% 21.8%

AMZA InfraCap MLP ETF 1.05% 21.0%

DPU DB Commodity Index Long ETN 0.75% 20.4%

Ticker Name TERTotal

Return

LD iPath Dow Jones-UBS Lead Subindex Total Return

ETN

0.75% -8.9%

ZLRG ETFS Zacks Earnings Large-Cap U.S. Index Fund 0.66% -7.1%

DXJF WisdomTree Japan Hedged Financials Fund 0.43% -6.9%

JETS U.S. Global Jets ETF 0.60% -6.6%

VXUP AccuShares Spot CBOE VIX Up Shares ETF 0.95% -6.5%

JO iPath Dow Jones-UBS Coffee Subindex Total Return

ETN

0.75% -6.4%

PLND Market Vectors Poland ETF 0.60% -6.4%

EPOL iShares MSCI Poland Capped ETF 0.62% -6.4%

DXJS WisdomTree Japan Hedged SmallCap Equity Fund 0.58% -6.3%

DXJC WisdomTree Japan Hedged Capital Goods Fund 0.43% -6.3%

FUE ELEMENTS Linked to the MLCX Biofuels Index 0.75% -6.0%

DXJ WisdomTree Japan Hedged Equity Fund 0.48% -6.0%

JJT iPath Dow Jones-UBS Tin Subindex Total Return ETN 0.75% -5.8%

EWT iShares MSCI Taiwan ETF 0.62% -5.8%

HEWJ iShares Currency Hedged MSCI Japan ETF 0.48% -5.7% Source: Deutsche Bank, FactSet. Total Return corresponds to last month.


Figure 72: Top 15 by 1M Inflows Figure 73: Top 15 by 1M Outflows

Ticker Name TERInflows

$MMLQD iShares iBoxx $ Investment Grade Corporate Bond 0.15% 1,296

USMV iShares MSCI USA Minimum Volatility ETF 0.15% 1,177

AGG iShares Core U.S. Aggregate Bond ETF 0.08% 940

TIP iShares TIPS Bond ETF 0.20% 940

XLV Health Care Select Sector SPDR Fund 0.14% 910

VOO Vanguard S&P 500 ETF 0.05% 866

BND Vanguard Total Bond Market ETF 0.08% 834

VNQ Vanguard REIT ETF 0.12% 792

EEM iShares MSCI Emerging Markets ETF 0.69% 653

IWM iShares Russell 2000 ETF 0.20% 609

EFAV iShares MSCI EAFE Minimum Volatility ETF 0.20% 599

PFF iShares U.S. Preferred Stock ETF 0.47% 551

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 520

IEFA iShares Core MSCI EAFE ETF 0.12% 511

VWO Vanguard FTSE Emerging Markets ETF 0.15% 470

Ticker Name TEROutflows

$MMEWJ iShares MSCI Japan ETF 0.48% (1,535)

QQQ PowerShares QQQ 0.20% (1,523)

SHY iShares 1-3 Year Treasury Bond ETF 0.15% (1,122)

FCG First Trust ISE-Revere Natural Gas Index Fund 0.60% (913)

XLP Consumer Staples Select Sector SPDR Fund 0.14% (865)

EZU iShares MSCI Eurozone ETF 0.48% (846)

TLT iShares 20+ Year Treasury Bond ETF 0.15% (836)

HEDJ WisdomTree Europe Hedged Equity Fund 0.58% (736)

IEI iShares 3-7 Year Treasury Bond ETF 0.15% (642)

GLD SPDR Gold Shares 0.40% (599)

GDX Market Vectors Gold Miners ETF 0.52% (574)

DXJ WisdomTree Japan Hedged Equity Fund 0.48% (571)

HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% (535)

BIL SPDR Barclays 1-3 Month T-Bill ETF 0.13% (521)

IEF iShares 7-10 Year Treasury Bond ETF 0.15% (507) Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month.

Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.

Figure 74: Top 15 by AUM Figure 75: Top 15 by $ Volume traded last month

Ticker Name TERAUM

$MMSPY SPDR S&P 500 ETF 0.09% 185,349

IVV iShares Core S&P 500 ETF 0.07% 71,363

EFA iShares MSCI EAFE ETF 0.33% 60,069

VTI Vanguard Total Stock Market ETF 0.05% 59,290

VOO Vanguard S&P 500 ETF 0.05% 44,416

QQQ PowerShares QQQ 0.20% 36,251

VWO Vanguard FTSE Emerging Markets ETF 0.15% 36,174

AGG iShares Core U.S. Aggregate Bond ETF 0.08% 35,906

GLD SPDR Gold Shares 0.40% 33,229

VEA Vanguard FTSE Developed Markets ETF 0.10% 32,075

VNQ Vanguard REIT ETF 0.12% 30,204

BND Vanguard Total Bond Market ETF 0.08% 30,091

IWF iShares Russell 1000 Growth ETF 0.20% 29,067

LQD iShares iBoxx $ Investment Grade Corporate Bond 0.15% 28,718

IJH iShares Core S&P Mid-Cap ETF 0.12% 27,032

Ticker Name TERVolume

$MMSPY SPDR S&P 500 ETF 0.09% 395,812

IWM iShares Russell 2000 ETF 0.20% 61,950

QQQ PowerShares QQQ 0.20% 60,979

EEM iShares MSCI Emerging Markets ETF 0.69% 43,217

GDX Market Vectors Gold Miners ETF 0.52% 36,599

GLD SPDR Gold Shares 0.40% 26,557

EFA iShares MSCI EAFE ETF 0.33% 24,766

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 24,610

XLE Energy Select Sector SPDR Fund 0.14% 24,365

XLF Financial Select Sector SPDR Fund 0.14% 21,030

HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% 19,094

TLT iShares 20+ Year Treasury Bond ETF 0.15% 18,317

XLV Health Care Select Sector SPDR Fund 0.14% 18,122

XLU Utilities Select Sector SPDR Fund 0.14% 16,715

IBB iShares Nasdaq Biotechnology ETF 0.48% 14,606 Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month.

Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month.

16 May 2016

US ETF Compass


Appendix A: ETN Snapshot

Figure 76: ETN Summary by Asset Class

Asset ClassApr

2016

End of

2015%Chg

Apr

2016

Mar

2016YTD

YTD

Chg %

AUM

Apr

2016

Mar

2016%Chg

Apr

2016

End

of

2015

%Chg AUMTurno

ver

# of

ETNs

Equity 13,206 12,607 4.8% (6) 27 174 1.4% 2,048 2,835 -27.7% 57 55 3.6% 56.9% 3.1% 27.9%Fixed income 236 288 -18.0% 1 (7) (12) -4.2% 93 99 -6.4% 19 19 0.0% 1.0% 0.1% 9.3%Commodity 5,586 5,262 6.2% (15) (309) 84 1.6% 23,478 19,661 19.4% 91 90 1.1% 24.1% 35.5% 44.6%Currency 57 73 -22.0% (6) (2) (6) -7.7% 15 19 -23.3% 11 11 0.0% 0.2% 0.0% 5.4%Multi Asset 567 533 6.5% 28 10 10 1.9% 66 44 47.6% 7 7 0.0% 2.4% 0.1% 3.4%Alternative 3,557 2,617 35.9% 657 710 1,238 47.3% 40,523 45,338 -10.6% 19 19 0.0% 15.3% 61.2% 9.3%Total 23,209 21,379 8.6% 660 429 1,488 7.0% 66,222 67,997 -2.6% 204 201 1.5% 100% 100% 100%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


Figure 77: ETN Summary by Issuer

IssuerApr

2016

End of

2015%Chg

Apr

2016

Mar

2016YTD

YTD

Chg %

AUM

Apr

2016

Mar

2016%Chg

Apr

2016

End

of

2015

%Chg AUMTurn-

over

# of

ETNs

Barclays Bank 7,292 6,507 12.1% 539 764 709 10.9% 25,577 31,899 -19.8% 81 81 0.0% 31.4% 38.6% 39.7%UBS 5,358 4,932 8.6% 52 40 277 5.6% 596 831 -28.3% 48 45 6.7% 23.1% 0.9% 23.5%Credit Suisse 5,281 4,682 12.8% 94 (354) 714 15.2% 38,361 32,874 16.7% 26 26 0.0% 22.8% 57.9% 12.7%JPMorgan 3,577 3,446 3.8% - - - 0.0% 1,341 1,955 -31.4% 1 1 0.0% 15.4% 2.0% 0.5%Deutsche Bank 840 941 -10.7% (15) (6) (165) -17.5% 272 381 -28.6% 29 29 0.0% 3.6% 0.4% 14.2%Swedish Export CC 377 391 -3.6% (4) (16) (37) -9.6% 60 30 99.0% 7 7 0.0% 1.6% 0.1% 3.4%Citigroup 218 206 5.5% - - - 0.0% 1 3 -53.2% 3 3 0.0% 0.9% 0.0% 1.5%Goldman Sachs 115 105 9.2% - - - 0.0% 1 3 -63.9% 1 1 0.0% 0.5% 0.0% 0.5%Morgan Stanley 54 51 5.2% - - - 0.0% 1 1 5.0% 1 1 0.0% 0.2% 0.0% 0.5%Van Eck Funds 45 61 -26.4% (6) - (6) -9.0% 11 17 -34.1% 4 4 0.0% 0.2% 0.0% 2.0%HSBC USA Inc 30 29 4.3% - - - 0.0% 0 1 -54.3% 1 1 0.0% 0.1% 0.0% 0.5%RBC GAM 15 20 -22.4% 0 0 (4) -19.4% 1 1 -47.0% 1 1 0.0% 0.1% 0.0% 0.5%Guggenheim 7 8 -1.0% - - - 0.0% 0 0 10.8% 1 1 0.0% 0.0% 0.0% 0.5%Total 23,209 21,379 8.6% 660 429 1,488 7.0% 66,222 67,997 -2.6% 204 201 1.5% 100% 100% 100%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


16 May 2016

US ETF Compass


Appendix B: ETF List

Figure 78: Global and US Equities Reference list

5-Day $ 5-Day bps

Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 5,469 92 205 297 0.01 1.8

US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.05% 58,946 259 1,919 2,178 0.01 1.0

S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 179,387 18,660 7,201 25,861 0.01 0.5

DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 12,041 613 1,033 1,646 0.01 0.8

NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 34,268 3,044 4,330 7,374 0.01 0.9

Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 28,802 166 817 983 0.01 1.1

Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.20% 26,591 198 4,286 4,484 0.01 1.2

S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 15,445 445 884 1,330 0.05 1.8

Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.20% 25,418 2,985 246 3,231 0.01 0.9

Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.10% 20,685 68 1,099 1,168 0.01 1.8

Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 14,604 79 500 578 0.01 1.6

Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.09% 13,403 56 4,088 4,144 0.01 1.8

Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 13,519 71 351 422 0.02 2.2

Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 10,405 417 1,764 2,181 0.01 1.3

Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment PortfolioAA 23-Jun-05 0.63% 142 2 47 50 0.04 11.4

Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,383 86 205 291 0.01 3.0

Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.43% 1,300 68 29 97 0.01 3.8

Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.63% 94 1 20 20 0.03 12.1

Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 307 232 133 364 0.01 2.3

Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 9,583 671 1,271 1,942 0.01 1.9

Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.63% 304 2 7 9 0.05 14.8

Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 13,570 1,183 1,239 2,422 0.01 1.5

Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 873 211 182 392 0.01 3.5

Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 207 10 97 107 0.02 11.0

Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.43% 234 2 54 57 0.04 11.1

Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 1,907 720 344 1,064 0.01 2.9

Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.43% 422 12 647 659 0.04 7.8

MLPs AMLP Alerian MLP ETF CM 25-Aug-10 0.85% 7,890 134 113 247 0.01 8.4

Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 16,302 1,010 1,154 2,164 0.01 4.3

Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 337 9 448 457 0.03 8.8

Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 1,709 205 267 472 0.01 2.6

Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 90 0 52 53 0.08 21.2

Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 361 11 157 168 0.05 6.6

Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,386 777 1,740 2,517 0.01 1.4

Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.48% 6,181 604 241 845 0.22 8.4

Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 515 10 148 157 0.10 9.6

HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.43% 938 12 156 168 0.08 6.1

HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.43% 717 7 53 61 0.11 8.4

Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 261 5 280 285 0.03 5.9

Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 6,766 687 1,451 2,138 0.01 1.8

Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.43% 665 8 79 87 0.10 8.0

Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.43% 549 43 73 116 0.06 4.0

Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 2,520 255 404 659 0.01 2.2

Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 590 199 34 233 0.01 4.2

Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 31,349 262 398 660 0.01 1.3

Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.10% 8,095 33 1,340 1,373 0.04 3.6

Comm. Equipment IGN iShares North American Tech-Multimedia Networking ETFAA 10-Jul-01 0.47% 55 4 51 55 0.04 11.1

Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.60% 3,041 27 73 99 0.03 4.2

Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.35% 161 152 278 430 0.01 2.0

Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.47% 657 23 228 251 0.05 5.2

Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.10% 1,505 12 17 30 0.09 9.3

Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 8,291 780 561 1,341 0.01 2.1

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask SpreadsListing Date TER

Product

TypeAsset Class Ticker ETF Name

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 5-May-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).

16 May 2016

US ETF Compass


Figure 79: International Equities Reference list

5-Day $ 5-Day bps

Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 58,514 1,197 1,455 2,653 0.01 1.7

Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.48% 2,744 61 453 514 0.01 4.0

Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.62% 116 2 3 5 0.26 53.3

Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.12% 13,764 201 582 784 0.01 2.0

Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 105 3 9 12 0.12 21.4

Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 108 0 9 9 0.03 30.2

Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.48% 317 6 218 224 0.02 5.9

Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.48% 1,155 29 221 250 0.01 3.4

UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.48% 1,971 51 1,321 1,372 0.01 6.2

Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 11,537 259 991 1,250 0.01 2.9

Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.48% 83 1 1 3 0.02 15.3

Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.48% 144 4 16 19 0.01 8.4

Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 22 0 9 9 0.10 31.4

France EWQ iShares MSCI France ETF AA 12-Mar-96 0.48% 374 25 912 937 0.01 4.1

Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 4,485 137 373 510 0.01 3.8

Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.48% 153 2 6 8 0.17 42.5

Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.48% 780 27 242 269 0.01 8.0

Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.48% 213 6 61 67 0.01 5.4

Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 26 0 2 2 0.06 57.4

Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 908 34 92 126 0.01 3.5

Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.48% 15,805 602 1,057 1,659 0.01 8.7

Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 2,061 21 337 358 0.01 3.7

Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.48% 1,618 67 423 490 0.01 5.0

Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.48% 1,711 62 101 162 0.01 5.1

New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.48% 102 3 6 9 0.17 41.7

Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.48% 573 16 77 94 0.01 9.3

EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.69% 25,408 2,152 390 2,542 0.01 2.9

Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 746 29 51 80 0.01 4.8

Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.62% 3,262 612 141 753 0.01 3.5

Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.62% 367 15 7 22 0.05 12.8

Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.68% 84 2 0 2 0.02 21.5

Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.48% 1,381 98 7 105 0.01 2.1

Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.62% 212 9 1 9 0.06 18.0

EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 118 0 297 298 0.20 39.7

China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.73% 3,913 731 175 906 0.01 3.0

China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ETFAA 6-Nov-13 0.80% 418 42 789 832 0.01 4.4

India INDA iShares MSCI India ETF AA 2-Feb-12 0.68% 3,455 54 85 139 0.01 3.8

Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 519 16 1 17 0.01 4.9

Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.48% 340 22 19 40 0.01 11.9

Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 254 11 3 14 0.04 10.4

South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.62% 3,549 170 161 332 0.01 1.9

Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.62% 2,281 105 110 215 0.01 7.7

Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.62% 358 15 5 20 0.10 15.2

EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar-07 0.49% 54 2 1 3 0.20 77.0

Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.65% 250 3 0 3 0.02 29.6

Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.62% 197 6 3 9 0.01 7.5

Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.63% 1,966 219 0 220 0.01 5.8

Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.62% 399 19 8 27 0.07 16.0

Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul-08 0.98% 7 0 4 4 0.64 285.2

Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.63% 47 0 4 4 0.42 216.4

UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.63% 30 0 1 1 0.26 150.0

Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.78% 73 1 3 4 0.27 130.1

Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 0.98% 29 1 1 2 0.55 143.2

South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.62% 442 34 111 145 0.08 14.3

Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 433 9 32 41 0.03 12.9

Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.75% 67 2 2 4 0.11 55.9

Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 0.68% 22 0 0 1 0.09 139.3

Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.88% 6 0 2 2 0.15 112.0

Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.76% 338 3 1 5 0.03 21.1

BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.69% 172 1 410 411 0.06 21.5

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M


Product



16 May 2016

US ETF Compass


Figure 80: Non-Equity Reference list

5-Day $ 5-Day bps

Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.08% 36,038 331 n.a. n.a. 0.01 0.9

US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 2,073 9 n.a. n.a. 0.02 8.3

Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 3,643 49 n.a. n.a. 0.01 1.1

Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 10,312 112 n.a. n.a. 0.01 1.2

Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 5,521 53 n.a. n.a. 0.02 1.6

Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 8,510 923 n.a. n.a. 0.01 0.8

US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 17,827 134 n.a. n.a. 0.02 1.5

Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 6,711 46 n.a. n.a. 0.03 2.3

Securitized MBB iShares MBS ETF AA 15-Mar-07 0.29% 8,220 55 n.a. n.a. 0.03 2.3

IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 29,204 380 n.a. n.a. 0.01 0.9

HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.50% 15,223 959 n.a. n.a. 0.01 1.2

Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 3,130 24 n.a. n.a. 0.01 2.5

Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 4,069 67 n.a. n.a. 0.01 4.4

Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 15,187 111 n.a. n.a. 0.01 2.6

Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 2,178 20 n.a. n.a. 0.03 5.9

Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,582 21 n.a. n.a. 0.06 10.4

Intl Inflation WIP SPDR DB International Government Inflation-Protected Bond ETFAA 19-Mar-08 0.50% 647 2 n.a. n.a. 0.16 29.2

EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.40% 6,194 145 n.a. n.a. 0.02 1.9

EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bond ETFAA 23-Jul-10 0.47% 1,479 14 n.a. n.a. 0.02 8.7

EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 55 1 n.a. n.a. 0.50 73.3

EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ETF AA 9-May-12 0.40% 245 2 n.a. n.a. 0.05 22.9

Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.85% 2,160 34 n.a. n.a. 0.01 7.0

Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.75% 97 1 n.a. n.a. 0.03 22.7

Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.45% 3,428 349 n.a. n.a. 0.01 9.1

Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.11% 555 70 n.a. n.a. 0.01 14.8

Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.85% 758 10 n.a. n.a. 0.01 5.6

Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.75% 100 1 n.a. n.a. 0.02 14.3

Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.75% 180 1 n.a. n.a. 0.05 12.2

Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 34,041 1,314 n.a. n.a. 0.01 0.9

Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 5,794 189 n.a. n.a. 0.01 6.0

Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 521 5 n.a. n.a. 0.15 15.1

Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 188 2 n.a. n.a. 0.14 23.1

Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 797 36 n.a. n.a. 0.01 4.2

JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 136 22 n.a. n.a. 0.03 3.0

EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 241 29 n.a. n.a. 0.02 1.3

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M


Product



16 May 2016

US ETF Compass


Appendix C: Definitions

ETP Universe Definitions

Exchange-Traded Products (ETPs)

We define an exchange-traded product (ETP) as a secure (funded or

collateralized) open-ended exchange-traded equity with no embedded

optionality and market-wide appeal to investors. This includes exchange traded

funds (ETF), and exchange-traded vehicles (ETV). The vast majority of

instruments are ETFs (~98% in AUM).

Exchange-Traded Funds (ETFs)

ETFs are open-ended funds which are listed on an exchange and offer intra-

day dual liquidity to access diversified investments in a transparent, cheap, and

tax efficient way. ETFs indexed to equity and fixed income benchmarks are

registered under the investment company act of 1940. Only physical index

replication techniques are permissible by this legislation while synthetic

replication is not allowed.

Exchange-traded vehicles (ETVs)

This terminology typically refers to grantor trusts that exist in the US market.

These instruments track primarily commodity benchmarks. They differ from

ETFs in that they are registered under the Securities Act of 1933 and not the

Investment Company Act of 1940, hence they are not classed as funds.

Vehicles that replicate commodity benchmarks, more often known as pools,

and funds targeting alternative index returns are formed under the

Commodities Exchange Act and are listed under the 33 Securities Act, and

report under 34 Corporate Act.

Management Style or Product Strategy Definitions

Beta

This is the main group with the largest number of products and assets. Within

this category we account for all those ETFs that track an index which employs

a market capitalization weighting methodology, and a simple selection

methodology usually involving screenings such as minimum market cap and

liquidity levels, or profitability levels. ETFs in this group are also referred to as

“plain-vanilla” ETFs. Some examples of indices falling within this category are:

S&P 500, S&P 400, S&P 600, MSCI EAFE, MSCI EM, Russell 2000, and Russell

1000, to name a few.

Beta+

In this group we include every product that offers any level of leverage or

inverse implementation. For example, an ETF offering access to twice the daily

returns of the S&P 500 on either direction (long or short) would be classified

under this category.

Active

Classifying products in this group is still easy; basically if the ETF doesn’t track

any index then we classify the fund as active.

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Enhanced Beta (aka Smart Beta)

This category is reserved for those ETFs that also track an index, but which

follow more elaborated strategies. After defining an index universe, there are

two main levers that determine most of the risk/return profile of the index: (1)

the selection criteria, and (2) the weighting criteria. In their selection process,

enhanced beta ETFs usually employ additional screening processes and

scoring systems involving multiple factors beyond just minimum market cap

and liquidity levels. For example, they could include growth or value scores,

dividends paid or dividend yield, earnings, volatility, or momentum screens, to

name a few. The weighting methodology of enhanced beta ETFs is usually

anything but market cap weighted, it can include simple equal weighting or

variations of it, optimized weights, and other metric-specific weights such as

those based on dividends paid, inverse volatility, dividend yield, fundamental

multi factor scores, earnings, and revenues, to name a few. An enhanced beta

ETF will either have a non-traditional selection methodology, a non-traditional

weighting methodology, or a combination of both.

Product Type Definitions

Asset Allocation ETFs

This group covers all ETFs with exception of levered and inverse products.

These are usually good products for market access strategies, portfolio

completion, and core positions. They are also efficient building blocks for multi

asset strategies. When selecting these products, major emphasis should be set

on the desired exposure, tracking efficiency, primary liquidity (i.e. the liquidity

of the underlying basket), and cost.

Cash Management ETFs

This group covers a more selected group of ETFs which in addition to being

good asset allocation tools, also serves a series of cash management portfolio

needs. For example, these products are very good for equitizing cash between

transitions, around reporting periods (window dressing), and during tax loss

harvesting. These ETFs usually have good liquidity, large fund size, and low

cost, all of which makes it easier to execute sizeable short-term transactions,

therefore secondary market liquidity and fund size tend to be a more relevant

factor compared to asset allocation ETFs. The most popular asset allocation

usage of these funds is as core building blocks.

Pseudo Futures ETFs

This group covers an even more selected sample of ETFs which in addition to

being good asset allocation and cash management tools can also be used for

fulfilling risk management functions such as risk hedging, portable alpha

strategies, or tactical shorts. Many times they also trade at a cheaper level

than their underlying basket, and offer large amounts of liquidity which can

make them attractive for market making activities as well. Secondary and short

liquidity (ease to borrow), and fund size tend to be more relevant

characteristics at the moment of selecting this type of ETFs. There is usually no

more than one pseudo futures ETF per asset class. The most popular asset

allocation usage of these funds is among portfolios that require more liquidity

given their size or more tactical nature.

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Figure 81: Selection criteria depending on intended ETF usage

Criteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation

Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant

Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant

Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant

Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant

Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant

Ownership:

Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant

Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant

Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant

Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant

Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant

Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant

Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant

Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant Source: Deutsche Bank

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US ETF Compass


The authors of this report wish to acknowledge the contribution made by

Alfonso Delgado Valdivia, employee of Evalueserve, a third-party provider of

offshore research support services to Deutsche Bank.

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US ETF Compass


Appendix 1

Important Disclosures

Additional information available upon request

*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

Analyst Certification

The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Sebastian Mercado

Equity rating key Equity rating dispersion and banking relationships

Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price to projected target price plus pro-jected dividend yield ) , we recommend that investors buy the stock.

Sell: Based on a current 12-month view of total share-holder return, we recommend that investors sell the stock

Hold: We take a neutral view on the stock 12-months out and, based on this time horizon, do not recommend either a Buy or Sell.

Newly issued research recommendations and target prices supersede previously published research.

47 % 50 %

3 %

52 % 43 %

22 %0

50100150200250300350400450500

Buy Hold Sell

North American Universe

Companies Covered Cos. w/ Banking Relationship

http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

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Regulatory Disclosures

1.Additional Information

Information on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or a

solicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund's

investment objectives, risk factors, and charges and expenses before investing. This and other information can be found

in the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling

1-877-369-4617 or by visiting www.DBXUS.com. Read prospectuses carefully before investing. Past performance is not

necessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understand

the similarities and differences between investments, including investment objectives, risks, fees and expenses, it is

important to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange through

any brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in very

large creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generate

tax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer,

advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which it

receives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinions

expressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates.

Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the

"Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing.

2. Short-Term Trade Ideas

Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are

consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the

SOLAR link at http://gm.db.com.

http://www.dbxus.com/

http://gm.db.com/

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US ETF Compass


Additional Information

The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively

"Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sources

believed to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness.

If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this

report, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche

Bank may act as principal for its own account or as agent for another person.

Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own

account or with customers, in a manner inconsistent with the views taken in this research report. Others within

Deutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those

taken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis,

equity-linked analysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication

may differ from recommendations contained in others, whether as a result of differing time horizons, methodologies or

otherwise. Deutsche Bank and/or its affiliates may also be holding debt securities of the issuers it writes on.

Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investment

banking revenues.

Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They do

not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no

obligation to update, modify or amend this report or to otherwise notify a recipient thereof if any opinion, forecast or

estimate contained herein changes or subsequently becomes inaccurate. This report is provided for informational

purposes only. It is not an offer or a solicitation of an offer to buy or sell any financial instruments or to participate in any

particular trading strategy. Target prices are inherently imprecise and a product of the analyst’s judgment. The financial

instruments discussed in this report may not be suitable for all investors and investors must make their own informed

investment decisions. Prices and availability of financial instruments are subject to change without notice and

investment transactions can lead to losses as a result of price fluctuations and other factors. If a financial instrument is

denominated in a currency other than an investor's currency, a change in exchange rates may adversely affect the

investment. Past performance is not necessarily indicative of future results. Unless otherwise indicated, prices are

current as of the end of the previous trading session, and are sourced from local exchanges via Reuters, Bloomberg and

other vendors. Data is sourced from Deutsche Bank, subject companies, and in some cases, other parties.

Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise

to pay fixed or variable interest rates. For an investor who is long fixed rate instruments (thus receiving these cash

flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a

loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the

loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse

macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation

(including changes in assets holding limits for different types of investors), changes in tax policies, currency

convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and

settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed

income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to

FX depreciation, or to specified interest rates – these are common in emerging markets. It is important to note that the

index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended

to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon

rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is

also important to acknowledge that funding in a currency that differs from the currency in which coupons are

denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options in addition to

the risks related to rates movements.

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Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk.

The appropriateness or otherwise of these products for use by investors is dependent on the investors' own

circumstances including their tax position, their regulatory environment and the nature of their other assets and

liabilities, and as such, investors should take expert legal and financial advice before entering into any transaction similar

to or inspired by the contents of this publication. The risk of loss in futures trading and options, foreign or domestic, can

be substantial. As a result of the high degree of leverage obtainable in futures and options trading, losses may be

incurred that are greater than the amount of funds initially deposited. Trading in options involves risk and is not suitable

for all investors. Prior to buying or selling an option investors must review the "Characteristics and Risks of Standardized

Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp. If you are unable to access the

website please contact your Deutsche Bank representative for a copy of this important document.

Participants in foreign exchange transactions may incur risks arising from several factors, including the following: ( i)

exchange rates can be volatile and are subject to large fluctuations; ( ii) the value of currencies may be affected by

numerous market factors, including world and national economic, political and regulatory events, events in equity and

debt markets and changes in interest rates; and (iii) currencies may be subject to devaluation or government imposed

exchange controls which could affect the value of the currency. Investors in securities such as ADRs, whose values are

affected by the currency of an underlying security, effectively assume currency risk.

Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the

investor's home jurisdiction.

United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and

SIPC. Analysts employed by non-US affiliates may not be associated persons of Deutsche Bank Securities Incorporated

and therefore not subject to FINRA regulations concerning communications with subject companies, public appearances

and securities held by analysts.

Germany: Approved and/or distributed by Deutsche Bank AG, a joint stock corporation with limited liability incorporated

in the Federal Republic of Germany with its principal office in Frankfurt am Main. Deutsche Bank AG is authorized under

German Banking Law and is subject to supervision by the European Central Bank and by BaFin, Germany’s Federal

Financial Supervisory Authority.

United Kingdom: Approved and/or distributed by Deutsche Bank AG acting through its London Branch at Winchester

House, 1 Great Winchester Street, London EC2N 2DB. Deutsche Bank AG in the United Kingdom is authorised by the

Prudential Regulation Authority and is subject to limited regulation by the Prudential Regulation Authority and Financial

Conduct Authority. Details about the extent of our authorisation and regulation are available on request.

Hong Kong: Distributed by Deutsche Bank AG, Hong Kong Branch.

India: Prepared by Deutsche Equities India Pvt Ltd, which is registered by the Securities and Exchange Board of India

(SEBI) as a stock broker. Research Analyst SEBI Registration Number is INH000001741. DEIPL may have received

administrative warnings from the SEBI for breaches of Indian regulations.

Japan: Approved and/or distributed by Deutsche Securities Inc.(DSI). Registration number - Registered as a financial

instruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No. 117. Member of associations: JSDA,

Type II Financial Instruments Firms Association and The Financial Futures Association of Japan. Commissions and risks

involved in stock transactions - for stock transactions, we charge stock commissions and consumption tax by

multiplying the transaction amount by the commission rate agreed with each customer. Stock transactions can lead to

losses as a result of share price fluctuations and other factors. Transactions in foreign stocks can lead to additional

losses stemming from foreign exchange fluctuations. We may also charge commissions and fees for certain categories

of investment advice, products and services. Recommended investment strategies, products and services carry the risk

of losses to principal and other losses as a result of changes in market and/or economic trends, and/or fluctuations in

market value. Before deciding on the purchase of financial products and/or services, customers should carefully read the

relevant disclosures, prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in

this report are not registered credit rating agencies in Japan unless Japan or "Nippon" is specifically designated in the

name of the entity. Reports on Japanese listed companies not written by analysts of DSI are written by Deutsche Bank

Group's analysts with the coverage companies specified by DSI. Some of the foreign securities stated on this report are

http://www.optionsclearing.com/about/publications/character-risks.jsp

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US ETF Compass


not disclosed according to the Financial Instruments and Exchange Law of Japan.

Korea: Distributed by Deutsche Securities Korea Co.

South Africa: Deutsche Bank AG Johannesburg is incorporated in the Federal Republic of Germany (Branch Register

Number in South Africa: 1998/003298/10).

Singapore: by Deutsche Bank AG, Singapore Branch or Deutsche Securities Asia Limited, Singapore Branch (One Raffles

Quay #18-00 South Tower Singapore 048583, +65 6423 8001), which may be contacted in respect of any matters

arising from, or in connection with, this report. Where this report is issued or promulgated in Singapore to a person who

is not an accredited investor, expert investor or institutional investor (as defined in the applicable Singapore laws and

regulations), they accept legal responsibility to such person for its contents.

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Taipei Branch may not execute transactions for clients in these securities/instruments.

Qatar: Deutsche Bank AG in the Qatar Financial Centre (registered no. 00032) is regulated by the Qatar Financial Centre

Regulatory Authority. Deutsche Bank AG - QFC Branch may only undertake the financial services activities that fall

within the scope of its existing QFCRA license. Principal place of business in the QFC: Qatar Financial Centre, Tower,

West Bay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related

financial products or services are only available to Business Customers, as defined by the Qatar Financial Centre

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any appraisal or evaluation activity requiring a license in the Russian Federation.

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Capital Market Authority. Deutsche Securities Saudi Arabia may only undertake the financial services activities that fall

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District, P.O. Box 301809, Faisaliah Tower - 17th Floor, 11372 Riyadh, Saudi Arabia.

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by the Dubai Financial Services Authority. Deutsche Bank AG - DIFC Branch may only undertake the financial services

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request. This report may not be reproduced, distributed or published without Deutsche Bank's prior written consent.

Copyright © 2016 Deutsche Bank AG

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David Folkerts-Landau Chief Economist and Global Head of Research

Raj Hindocha Global Chief Operating Officer

Research

Marcel Cassard Global Head

FICC Research & Global Macro Economics

Steve Pollard Global Head

Equity Research

Michael Spencer Regional Head

Asia Pacific Research

Ralf Hoffmann Regional Head

Deutsche Bank Research, Germany

Andreas Neubauer Regional Head

Equity Research, Germany

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